Hi Guys,

I am new to the platform and, after following some tutorials to keep up with pace, I've decided to implement some strategies from the “Algorithmic Trading: Winning Strategies and Their Rationale” book to see if I could confirm (or not) the alleged returns and to gain more knowledge on the platform.

With that in mind, I would like to share you some of my results to hear from more experienced users what do they think about the algo, the pitfalls, how we could improve it together, etc. 

The first algo is a simple mean reverting, that uses a fixed hedge ratio between two assets (in this case, two ETFs, EWA and EWC). I think the result is ok, not stellar. I have explained all the steps in the following medium post:

And here is the backtest (an updated version compared to the Medium).

So, if you guys gave any ideas about it ,I would be glad to hear and work together.

Regards,

Maurício

 

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