My idea was initially to find high volume gainers to long, but my results only turned positive when I shorted them. Furthermore, I sorted the stocks by annualized volatility, which then drastically improved returns further. If anyone has any ideas, I would love to hear them.
My first look at this strategy tells me its been most likely over optimized due to all the precise variable settings, however I really like the logic that is behind the strategy. This commissions haven't been included in this strategy which really should be included as there isn't a broker that you can short with yet that doesn't charge commissions. After many years of creating algorithms myself in C# mostly I have found that creating a robust exit strategy can make all the difference. What I might try to make this more profitable is have all the shorts that are losses get covered the way they are already in the strategy now but all the shorts that in profit I would give them a trailing stop exit or have them cover when price crosses above a preferred moving average line to allow breathing room for max profit. One caveat will also be to find a reliable broker with shorts to offer.
Just my 2 cents for thought
Wayne H
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.