Above SPY performance with 0.80 Sharpe and Max drawdown of 23.2% since 2007

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Above SPY performance with 0.80 Sharpe and Max drawdown of 23.2% since 2007

edited Nov 4, 2014

I'm starting to like this strategy as it seems quite stable (especially with stable securities as well).

It seems to perform well even when backtesting before the 2008 crash, however the strategy seems counterintuitive since it buys when MACD is below signal and sells when MACD is above signal, and I can't really explain that unless I'm misunderstanding something.

Also, the Volume KAMA signal seems to avoid trading if the market is not showing above-MA activity, i.e. we only buy or sell when the volume is above the volume's KAMA with a period of 7 days. This seems to work best as well as 12 days. Something to do with the fact that it analyses the previous' week activity?

I still need to add slippage and broker's fees to make this more realistic, but I'm still working out how to do it.

Also many thanks to Gary Hawkins for helping me out materialize this strat!

EDIT: Thinking on adding RSI to reduce volatility and maybe moving around MACD parameters, although since this start seems to "go with the flow" maybe changing MACD params will make things worse. Will need to test it out.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.