This is my first strategy that generally looks like it performed well for recent history.
My tests were in sample from 2011 to 2013, and then I tested out sample and received these results from 2003 to 2020.
My goals were to ensure I was not levered and to beat the SPY.
Used the following 3 factors:
* Path Quality (Standard Deviation of Returns) ensured that there was some volatility in the equities
* Momentum ensured that it was relatively directional
* RSI < 50 allowed me to buy dips and sell when it gained
Open to feedback in how I approached this as well as anything else that I should look out for in future research. Being a novice, my biggest concern is that I hit a 40% drawdown in 2010, but in recent history it looks like I performed relatively well.
