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Aggressive Short-Term Trading Based On Percent
Deleted User
posted

Includes:

  • Initial investment
  • Buy range
  • Sell range
  • Commission per trade
  • Max hold term
  • Max trades per week
  • Setting of securities

Very customizable to make it short term, long term, aggressive, passive, etc.

The preset is aggressive short-term with a .5% change both directions for an overall profit of 1% (minus commission*2) per buy/sell.

The graph is incorrect, I had created it using my own system and attempted to set server values near the end so. Yeah. Based on my values, with an initial of $10,000 the end after a year is $15,160.27 (over 50% increase). That is aggressive short-term, so say if you did 2% buy and sell range, or 1% even, and changed the max hold term accordingly then it'd be less volatile.

Let me know what you all think.

4 responses
Alisa Deychman

Looks like the algo hit a couple of big positions in the backtest, I'd be curious to see how it performs over a longer period of time. Perhaps try running the algo over a 5 or 10 year backtest?

Also, adding a stop price to your orders will help minimize the losses. Some ideas for version 2 of the algo!

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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.

snoze pa

do not test it for past 5 years of data. Instead, test it for each year window. If a stock was worth $10 5 years back and now trading in $30 range then it is not a rocket science. it it trivial. test algorithm for only a period of one of max two year.

Jack DeNaut

31,000% profit. WTF

Viridian Hawk

Have you checked that your leverage is under control?

Imagine getting in nov 2014. That would be painful.

Seems like the strategy only works in certain market conditions. Perhaps you could check for those conditions and avoid painful drawdown periods.

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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.