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Trend-Volatility Multi-Currency Portfolio Strategy with Risk Control

Hi,

So, using my initial framework, this time I tried a trend based strategy for trading which makes use of a profit target to exit and an rsi indicator for its entry. The strategy performs very well achieving a return of over 1400%. Starting with cash $2000 I end up with just over $30000 over a period of almost 10 years. It achieves a win rate of 89% which a constant amount of risk per trade. To balance the portfolio, I use a few symbols at a time. The strategy performs very well and with better indicators may perform even better. 

It would be fun to discuss what other indicators may do and may perform even better.

 

Update Backtest








I added quotebars but algo has not the same behavior

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Mat L. - This is a big reason why we added QuoteBars! They are really important in FX.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


So you are stating that the previous successful results were due to not having small enough time segments under backtest? And we should always be using Quotebars in our future Algo's?

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Tad Johnson - The initial backtest was done before we added Quotebar data; now all FX modelling is done with quotebars in the fill models. We maintained the "tradebar" midpoints algorithm helpers for backwards compatibility with old algorithms, 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks for clearing that up. I wondered why the backtests were different. Of course I'm coming from MT4 where backtests either don't work consistently or not at all = )

1

Has anyone had luck with the ThreeSigmaVolatilityModel error?

It seems the following format needs to be used: IVolatilityModel.GetHistoryRequirements(Security, DateTime)

However I've been having trouble implementing it into the following part of the code. 

public class ThreeSigmaVolatilityModel : IVolatilityModel

Any help would be appreciated. 

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Nevermind, it seems I was able to make it work by adding QuoteBars along with

public IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime dateTime)
{
return Enumerable.Empty<HistoryRequest>();
}

However it seems the backtest doesn't perform nearly as well anymore, and stops after September 2008. 

Does this mean that it cannot be live traded anymore?

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Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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