Hey all!
I've been creating some fun stuff here on QuantConnect and really enjoy the platform!
First i have created a simple investing algo that looks to great market cap stocks and look at a drop in price to invest money in it.
Now i've made a fun script that analyse a simple rsi strategy to get the optimal parameters and analyse multiple implementations.
It looks at the SPY to open a buy position when the RSI falls below a certain level.
The parameters:
- The rsiLevelsToTest parameter can be set to an array of rsi levels you want to test.
- The targetPointsCombination parameter can be set to an array of profit targets you want to test out.
- The stoplossPointsCombination parameter can be set to an array of stoploss levels you want to test out.
The script looks and combines all these parameters and tests it out.
After the backets you can see all the results in the Log. The strategy score is a calculation of the full strategy to analyse in one number if the combination is profitable or losing money.
Calculation:
Strikerate = S (0,9 = 90%)
Loss rate = L (0,1 = 10%)
Maximum drawdown = D
Average win points = W
Positions traded = P
formula : Strategy score = (W*(P*S))-(D*(P*(1-S)))
Let me know what you think of this one :)
Enjoy.
Tijmen Kodden
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