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Hey everyone!
We're back with another episode of Idea Streams and this week we're adding a bit of a twist to a standard EMA crossover strategy. You can check out the video here - https://youtu.be/QwZWcrIiY1s.
Using two exponential moving average indicators from the WOOD ETF prices we create trading signals to buy and sell XHB - the S&P Homebuilders Index. This is based off the hypothesis that the performance of timber manufacturers could be a precursor to the performance of homebuilders as they are higher up the supply chain.
The backtest is attached along with the code below.
Happy coding and let us know if you have any ideas for future episodes!
Ollie
Dan Root
Great video / tutorial, I really like the in depth details and explanations! I would love to see some idea streams cover the topic of Machine Learning in the future. Keep up the great work! 😊
Varad Kabade
Hi Dan Root,
We are glad you liked the above series/tutorial. While waiting for the next episode, we recommend going through our Strategy Library, where we have implemented models from research publications. We have many algorithms which use machine learning-[1, 2, 3, 4] for your reference.
Best,
Varad Kabade
Stephane Forlini
I noticed in your video the implementation of the strategy did not follow the notebook research; instead of opening a trade only on a crossover signal, trade would be open any day not already invested, in the direction of the stronger EMA. Trade would indeed exit on a crossover, since liquidation would happen on a first day that the stronger EMA changes.
Here is a backtest from a corrected version, adhering to the initial research. Very minor difference of performance, although slightly better.
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Very nice little project idea tho!
Ollie Hooper
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