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I just wanted to get some feedback from the community on a basic long-term algorithm I wrote.

The goal was to simply buy and hold (SPY) and predict/negate the effect of large market downturns (i.e. 2001, 2008, etc). I think I pretty well accomplished that but I'm not a professional, just a hobbyist at best, so I may be missing something glaringly obvious.

Any insights would be greatly appreciated :)
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Curve looks good Jeff, especially how the moving average curves seem to cross perfectly and not jitter. A warning sign might be the sensitivity to the EMA values - have you tested with +-30% range in 5% steps? This will give you a good indication of how it will perform in reality.
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E.g. 70d, 75d, 80d, 85d, 90d, 95d, 100d, 105d, 110d. crossed with 320d, 340d, 360d, 380d, 400d etc
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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 the suggestion. I backtested it with many different EMA pairs before settling on 90d/365d. I haven't tried subtle variations (+-30%) on those values though so I'll give that a shot and see how it affects the entrance/exit points and the overall return.

Thanks again!
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No problem, the wider range the better - it indicates how sensitive the strategy is to those precise values. A better way would be to remove its dependence on those values entirely by making them self-generated by something in your strategy (e.g. volatility, news announcements, company earnings, etc)
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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.


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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