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2017 SUFFOLK PROJECT # 1

For Suffolk FINH445: Attach your backtest for your edited algo to this post.

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Pairs Trading Edit - Changes made are explained in Trading Project Report

Edited Mean Reversion Algorithm

Edited 50 day moving average for McDonald's. Based off the Basic Strategy Algorithm.

SMA 50/10 crossover for ALGN

Fundamental Data Alg: Changed # of days to 20
Changed weight in Long to 0.9, changed weight in short to 0.1
Changed start date to 2009

"First strategy tested: RSI Weighted Mean Crossover"

Changed:
Low RSI 40
High RSI 60
Window Length 14

A simple long/short algo, which bases its activity off of sma_20 & sma_50

SMA200/50 crossover for AMZN

Cloned from RSI Strategy by Viridian Hawk

Changed:
Low RSI from 10 to 20
High RSI from 90 to 80

Added Simple Moving Average for price with 5/20 crossover. Changed price increase required to trigger signal from 1.01x to 1.005x

Cut the trading amount in half and doubled the return %.

I changed the moving average to a hundred days to see how would that affect the results.

I changed the moving average from 5 to 100 and the price from 1% to 5% higher than the moving average

Mean Reversion

Alterations are explained in detail in my project report.