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Hello all traders and quants,
I am comparatively very new to Algo trading. So I wrote this algo to trade based on simple EMA crossover strategy.
Strategy on the lines of -
There are three EMAs - slow ,fast and medium. I maintain the current price and the one last price in Rolling Window,.
- BUY signal - whenever there is a
- medium EMA crossing up slow EMA
- also the fast EMA is higher than slow EMA
- then BUY 5% of portfolio amount.
- SELL signal - it is just opposite of BUY that is same signals but crossing down
- Now I tried to put in a Trailing SL but yet only on BUY Orders.,
- If the profit for a symbol is more than 10% then make the SL at current 10% less than current price
- Also if the fast EMA crosses down medium EMA, then liquidate the BUY orders and same for SELL signals
I have attached the backtest based on one of these signals.
Now, my questions
- I feel the strategy always start good and then mid way it either stops getting the profits or hits a snag. What is the best way to test out the details like how many trades did the algo skipped, or Equity after each day so that I can find a pattern of when the algo starts giving the losses.
- How can I improve this strategy like the next steps, what additional things I should try? Like I already tried changing EMA time periods and percentage of the portfolio to make each order. What other variations can I try with an algo?
- Any other suggestions based on Algo
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