Bounce Strategy

Thanks for sharing Warren! Looks like a nice setup you have here. Did a little digging around and discovered some things. First off, I was able to aggregate the results by symbol to see who the big players are. Here are the results. 2016-04-30 00:00:00 TotalProfit: 50065.759500000000 2016-04-30 00:00:00 Ticker: UVXY, Total Profit: -438.20 2016-04-30 00:00:00 Ticker: XIV, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: NUGT, Total Profit: 239.89 2016-04-30 00:00:00 Ticker: DUST, Total Profit: 3,573.00 2016-04-30 00:00:00 Ticker: JNUG, Total Profit: 938.67 2016-04-30 00:00:00 Ticker: JDUST, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: LABU, Total Profit: 708.56 2016-04-30 00:00:00 Ticker: LABD, Total Profit: 6,215.35 2016-04-30 00:00:00 Ticker: GUSH, Total Profit: 4,972.54 2016-04-30 00:00:00 Ticker: DRIP, Total Profit: -1,411.80 2016-04-30 00:00:00 Ticker: TVIX, Total Profit: -2,009.74 2016-04-30 00:00:00 Ticker: GASL, Total Profit: 10,334.88 2016-04-30 00:00:00 Ticker: GASX, Total Profit: 11,773.34 2016-04-30 00:00:00 Ticker: DWTI, Total Profit: 5,433.01 2016-04-30 00:00:00 Ticker: UWTI, Total Profit: 1,742.18 2016-04-30 00:00:00 Ticker: DGAZ, Total Profit: 98.81 2016-04-30 00:00:00 Ticker: UGAZ, Total Profit: 726.20 2016-04-30 00:00:00 Ticker: UBIO, Total Profit: 1,017.29 2016-04-30 00:00:00 Ticker: ZBIO, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: BRZU, Total Profit: 215.68 2016-04-30 00:00:00 Ticker: RUSS, Total Profit: -178.78 2016-04-30 00:00:00 Ticker: SCO, Total Profit: 894.94 2016-04-30 00:00:00 Ticker: UCO, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: RUSL, Total Profit: 109.66 2016-04-30 00:00:00 Ticker: ERY, Total Profit: 72.59 2016-04-30 00:00:00 Ticker: ERX, Total Profit: -261.18 2016-04-30 00:00:00 Ticker: BIOL, Total Profit: -500.74 2016-04-30 00:00:00 Ticker: SVXY, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: VXX, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: SILJ, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: BIB, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: BIS, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: VIXY, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: SOXL, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: VIIX, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: SOXS, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: BZQ, Total Profit: 1,477.70 2016-04-30 00:00:00 Ticker: USLV, Total Profit: 283.92 2016-04-30 00:00:00 Ticker: SLVP, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: DSLV, Total Profit: -94.95 2016-04-30 00:00:00 Ticker: GDXJ, Total Profit: 0.00 2016-04-30 00:00:00 Ticker: GLDX, Total Profit: 0.00 Looks like GASX is the biggest contributor @ $11,773.34. The kicker I found though is that when slippage is factored in, GASX goes from $11,773.34 to -$4,083.76. Using a 0.83% slippage spread found @ http://www.etf.com/GASX, most of the trades fail. It's a bummer. Looks like a nice strategy. I wonder if boosting the resolution to 15m or 1h and adjusting your parameters would have better results. I've always found the 1m & 1s resolutions to tread dangerously close to the slippage zone.

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Thanks for the interest Levitikon. I've been meaning to address the slippage issue. I can move to limit orders, I have a bunch of coding to do. I can then attempt purchasing close to the bid and selling close to the ask. That will put the spread on my side as LEAN analyses the highs and lows to see if my order gets through. Not all of my orders will go through so the number of trades will go down but my profit per trade will go up. I'll have to scrape the average spread values as well so it will take me a little while. Consider this algorithm a preliminary attempt.

Never surrender. I switched to limit orders, that should take care of the slippage problem. The bounce strategy didn't work too well with the limit orders so I switched strategies altogether. The new strategy shows a compounding annual return of 6912.402%, but again the strategy is overfit for the time period. If you see any more problems please report them here and I'll try and fix them. The algorithm is alpha so there may well be problems.

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Hey Warren, I wonder what this would look like if you used the universe down-select features the QC guys built for us. Would be pretty neat to be able to remove that static list of stocks in the initialization and just let the algo pick candidate securities for you.

I tried the universe code and couldn't figure out how to get a list of the securities in the universe from within the Initialize event. I need a list to set the fee models and indicators. There's probably a way but I didn't see it. I think there were some other events (OnSecuritiesChanged?) that I'll have to look into.

bravo, sir. bravo!

is there a way to follow up the development of this algorithm? versioning?

@Benton, I've mostly just been posting versions here as I get around to it.....

Hi Warren, I could not get the 6912.42% by running the strategy. Where can I see the updated version of it? Cheers and thank you for sharing.

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how did you get the nifty data bar at the top of your backtest? really nice feature for seeing total equity, percent gain, fees, etc

Hello Warren and thanks for such awesome and simple code (in a good day, not minimizing)!... Let us know when you have or can share the version mentioned above, please. Thanks again for contributing with this!

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-no value-