Hello Community,
As a beginner i am learning QC and with lots of hardwork I came with good strategy . Please share your thoughts and improve my algorithm.
Algorithm details:
We take advantage of most index markets they show profitable long term but erratic price movement in the short term.
We will long when SPY trend goes up when 50-day trend is up and exit when 4-day trend turns up. We are doing the opposite of the short term signal but only when the slow trend is up
We will long when QQQ trend goes up when 90-day trend is up and exit when 4-day trend turns up. We are doing the opposite of the short term signal but only when the slow trend is up
We will long when IWM trend goes up when 100-day trend is up and exit when 10-day trend turns up. We are doing the opposite of the short term signal but only when the slow trend is up
Risk Management:
- We sell when High > entry price + 3.5× 10-day ATR - we benefit of taking profits is that you are out of the market. The more you are out, the less you are exposed to price shocks, other extreme moves, or any
move that goes against your position
2. We will check for Annualized volatility of last 20-rolling day window and trade only when it is greater than 0.10 and 0.50 . We don't trade in high volatility as there is high risk.
low volatility filter will remove trades when prices are very quiet and returns are small. A high volatility filter
avoids extreme risk.
I backtested from 2000 till date. Please go through my algorithm and advise me on how to improve it.
Mike Lin
In his book, Trading Systems and Methods, Kaufman write about using kurtosis as a trading signal. He says you'd want to fade the trend when kurtosis is increasing. Could be something to consider here. Your high volatility filter might actually be doing the opposite of this advice.
Pardhu Nani
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