This is a trend following algorithm that attempts to determine a trend and then buy and hold with appropriate risk measures


 

Universe Filter:

This algorithm filters the top 1000 most liquid stocks and takes those with prices above 10$ and a market cap above 2 billion to weed out less ideal stocks


 

Alpha:

This algorithm generates insights based on a series of selection criteria: 

  • The stocks 50 day ema must have been trading above its 200 for a set amount of time
  • The stock must have been mostly trading between the middle and high bollinger bands over a configurable period
  • It must have a macd that has been above 0 for a certain period time
  • The trend of its rsi and price must be in agreement
  • The derivative of the ema must be above a certain threshold
  • The Average Direction Index of the stock must be above a threshold and on an uptrend
  • The On Balance Volume must be trending above a threshold
  • If all the above apply and the stock is above its middle bollinger an insight is generated


 

Risk:

Risk is managed by the following:

  • An atr trailing stop loss
  • Selling out on weak (or strong for short positions) rsi


 

Portfolio Construction:

The RiskParityPortfolioConstructionModel was used as it yielded the best results, it is also modified to use all available leverage


 

Execution Model:

The VolumeWeightedAveragePriceExecutionModel was used as it yielded the best results