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Dual Exponential Moving Averages trading SPY and SH
Michael Grosner
posted

Hi all,

The algorithm is fairly straight-forward and simple. Go all in SPY when the short (30-day) EMA is greater than the long (82-day) EMA (greater than some tolerance, 0.05 here). Pull out from the SPY and re-invest all-in SH otherwise. This idea could be applied to any negatively-correlated instruments. I also added a 10% stop-loss for SPY only, however, the stop-loss never gets triggered using the parameters shared in the backtest.

This is my first algorithm here, so perhaps I'm not expressing some ideas in the code as well as I could. Any comments or ideas for further development would be appreciated.

Thanks

1 response
Dan Dunn

Michael, this is a fascinating algo. It's very well written.

It looks like it flips positions like 8 times over 6 years. You have a pretty steep trade cost in there, too, at $10/trade.

My worry is that it made a lot of money when the market tanked in '08, but is otherwise not a great play.

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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.