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Universe Based RSI Selection - Updated

USE AT YOUR OWN RISK.

I added leverage and a stoploss, cleaned up the code, and tuned it some more.

Update Backtest








I've got.a simple algorithm that i would like.to have coded that shouldnt take more than an hour or 2 I'm willing to pay $100/hr it's simply using 2 moving averages
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Hi Eli. You can email me with the specification at warrencharding@yahoo.com. I'ld be glad to write your algo for you. I only charge $30/hour.

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Here's a trick I came up with that you can use to help verify that your multiple ticker algos are statistically robust. Clearly a backtest with more trades is more statistically robust on a general basis. You can get lucky on a few trades, but if thousands of trades are put through you should be able to verify profit or loss with some accuracy. The backtest above shows only 181 trades, which seems a bit on the low side. The backtest below is the same algo with only the start cash changed to 100 million. The result is that 2357 trades occur. That should be enough to get a more accurate picture of whether the algo is profitable.

Obviously it's pointless to look at most of the profit related statistics with the backtest below given that amount of start cash. Much of the cash will be sitting on the sidelines as the market simply can't absorb it all due to dollar volume related restrictions, leading to much lower profit percentages. The total profit, $9,504,245, is a figure of interest.

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Have you traded it live yet?

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No, I haven't traded it live yet.

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It look quite promising. I was running it on IB paper account but unfortunately ran out of memory.

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Yes, running it on paper first is probably a good idea. I've ran the same algo, and variants of it with other ticker lists and it seems to profit with them on a general basis as well, so hopefully there are no significant survivorship bias problems with the S&P 500 list I've provided.

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Conceptually, what is the trade logic? 

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The trade logic is basically just mean reversion with short term strength. A plain vanilla mean reversion algo will buy stocks that are falling through the floor, this algo waits until they stop falling before opening a position. So to open a position a stock should not be falling and should be a ways below it's moving average. Selling is much the same, if the stock is a ways above it's moving average and has stopped rising, then sell. Those are the types of trades the algo looks for in concept. There's a real basic stoploss that just sells if the stock falls too far below the buy price.  This line:

orderby stockData.AverageMinusCloseRatio * stockData.RSI descending

...is the most interesting IMHO. It ranks the stocks by multiplying the distance below the moving average by the short term strength. So stocks that have fallen the furthest below their moving average and are coming the fastest get prioritized with regards to opening a position.

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That last sentence should read: So stocks that have fallen the furthest below their moving average and are coming back the fastest get prioritized with regards to opening a position.

Please add an edit post feature if you get the time.

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This seems to be an ideal model to replace the function which RSI serves with a "DeMark Sequential Countdown", designed specifically for mean reversion after a cascade sell off/parabolic rally reversal is "triggered and confirmed" to prevent getting destroyed by falling knives. 

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I've come up with a Reversion 2.0.0 that has a decreased risk of survivorship bias and an increased Compounding Annual Return. I'm not sure I want to give it away for free though...

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You shouldn't

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Sell the signals!

https://trade.collective2.com/

 

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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.


Hmm sounds interesting. tell me/us more about that. did you implement your strategy there and are people investing in it? any experience? thx

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I didn't used yet.

As far as I understand, you connect your broker account (or use their API) to send the signals to the Collective portal, and the subscribed members to your strategy will receive the updates as soon as your strategy sends a new order.

Of course, publishing a strategy isn’t free.

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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.


Hi guys. I've come up with a volatility strategy that seems vastly superior to the free one here, but I'm not giving it away for free. I'll be concentrating on that for a while.

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Update Backtest





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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.


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