Hey, guys. My seminar work will be recored in this theard. i hope i could manage to design a algorithm that actually gain profit after this seminar.
According to the assignment, algorithm should match following requirements:
1. Simple Moving Average.
2. Minutely periodicity.
3. Backtest period (~6-12 months), any ticker.
4. Default slippages and commissions.
5. Initial Quantopian community post.
SMA can be calculated by adding the closing price of the security for a number of time periods and then dividing this total by the number of time periods. In application, short term averages above long term average can be seen as a signal to buy.
Further, i choose the one of popular patterns-death cross(when the 50-day simple moving average crosses below the 200-day moving average) to design the algorithm (with help of previous work of Pedro Garcia).As backsets runs every minute, daterules can be neglected.
About tickers, i firtly try to run backtest in trading Apple stock, however the returns are all the time 0. So, i give up and trade SPY instead.
i just read a article about the relation about price of share and commissions. do not understand what is requirement for.
what i am doing now.
