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Combination of BollingerBand (BB), Moving Average Convergence Divergence (MACD) and Relative Strength Index (RSI)
Amol Chaudhari
posted Sep 21, 2015
Seeking Help Momentum Mean Reversion ETFs

Hello Everyone,

I am not really a python expert, so there is definitely room for improvement there and also it needs a bit of clean up.

I have taken BB, MACD and RSI as indicators to buy and sell SPY.

The algorithm buys if BB, MACD or RSI thinks as it is a buy and shorts SPY, if it thinks its a sell.

I have a stop loss, if the evaluation of the portfolio falls below a certain amount. I think there is room for improvement in stop loss department.

I ran the algorithm in different time periods and it seems to outperform SPY. Can someone please take a look and see if there is a room for improvement or am i doing something wrong here ?

Thanks,
Amol-c

4 responses
Sam $.
Dec 22, 2015

Hi Amol,

Can you replicate this algo with long_only strategy?

Sameer

shudong zhang
Dec 24, 2015

no position control. when doing backtest you can see that the machine buy and sell far from max initial capital

chan john
Dec 24, 2015

Hi Amol.. I think this is leverage... and I dont see... and I dont see any... stoploss in place... it doesnt seem.. to add up... pls. check. thanks

if Ran
Apr 15, 2018

Hi Amol,
I am new the Quantopian. I came across your post. I was thinking about developing similar Alogo but I have very entry level python skills and zero skills developing experience for Quantopian. Have you made any changes to your code to fix problems suggested by community members?

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