Hello Community,

As a beginner i am learning QC and with lots of hardwork I came with good strategy . Please share your thoughts and improve  my algorithm.

Algorithm details:

We take advantage of most index markets they show profitable long term but erratic price movement in the short term.

We will long when SPY trend goes up when 50-day trend is up and exit when 4-day trend turns up. We are doing the opposite of the short term signal but only when the slow trend is up 

We will long when QQQ trend goes up when 90-day trend is up and  exit when 4-day trend turns up. We are doing the opposite of the short term signal but only when the slow trend is up 

We will long when IWM trend goes up when 100-day trend is up and  exit when 10-day trend turns up. We are doing the opposite of the short term signal but only when the slow trend is up 

Risk Management:

  1. We sell when High > entry price + 3.5× 10-day ATR - we benefit of taking profits is that you are out of the market. The more you are out, the less you are exposed to price shocks, other extreme moves, or any
    move that goes against your position
    2. We will check for Annualized volatility of last 20-rolling day window and trade only when it is greater than 0.10 and 0.50 . We don't trade in high volatility as there is high risk.
    low volatility filter will remove trades when prices are very quiet and returns are small. A high volatility filter
    avoids extreme risk.

I backtested from 2000 till date. Please go through my algorithm and advise me on how to improve it.