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Hi, I am backtesting a simple idea:
Rule:
- Buy ZIV is ROC > 0. As long as ROC > 0, update stop loss price otherwise liquidate.
This is my first algo and I just want a second pair of eyes just to confirm if I implementing the above rule correctly. Thanks!
Upvote
Hi Seine,
Yes, that is a good summary of what the implementation does. Specifically, the algorithm buys when ZIV has a ROC > 0 over the last 5 days. As long as the portfolio remains invested, if ROC > 0 and the lastest close of ZIV is greater than the previous closes found during the previous holding periods, it updates the stop loss price. On the other hand, if the portfolio is invested and the ROC <= 0, it liquidates the position.
It should be pointed out that in the current implementation, the algorithm doesn’t reset the highestPrice variable when the position is liquidated. As such, the algorithm updates the stop loss price if the latest ZIV close is greater than the closes found during any of the previous holding periods. If the intention is to update the stop loss price if the latest ZIV close is greater than the closes found during the current holding period, this can be fixed by addingself.highestPrice = 0
after liquidating the position.
Furthermore, the algorithm requests historical data on each call to OnData to calculate the historical volatility. We can make this calculation more efficient by utilizing the ROC, StandardDeviation, and IndicatorExtensions classes in Initialize like this:self.roc1 = self.ROC("ZIV", 1, Resolution.Daily)
self.std = IndicatorExtensions.Of(StandardDeviation(self.lookback), self.roc1)
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