Gentlemen,
I'm kinda new to quantopian and I enjoy it a lot. I have a very powerful trading system that has performed
exceptionally well over the past couple years... I'm wondering if anybody's willing to work with me to turn this into code...
I already have most of the code for the scans and indicators inside the ThinkorSwim platform but need
to translate it to quantopian. What's definitely missing is a lot of the logic for entries and exits.
Here's an overview of the system:
1. SELECTION
our universe of signals starts with IBD50 stocks and other high volume Nasdaqs and ETFs...
if a security trades near all time or yearly highs/lows it enters the watch list
2. ENTERING THE TRADE
we are looking for a "squeeze" on the weekly chart (weekly bollinger bands inside keltner channels)
and a daily squeeze (daily bollinger inside keltner channels) - volatility is low in this case, OKAY to enter with options,
Ideally portfolio is something like 3 long stocks, 1 long etf, 1 short stock...
for Long Entries we look at this criteria:
8 MA, 21 MA, 34MA, 55MA and 89 MA stacked on top of each other on the daily (uptrend) (+1)
Price above the 21 MA (+1)
Intermediate term daily momentum higher and long term daily momentum higher (based on MACD calculations) (+1)
8 MA, 21MA, 55 MA stacked on top of the weekly chart. (+1)
Intermediate weekly momentum higher and long term weekly momentum higher (+1)
We only trade the +4 and +5 like this:
1 Sell an ATM put spread to finance the trade 3 to 14 days out - (1% at risk) - optional
2 Buy delta 70 options with at least 20 days to expiration. (2% at risk max) - bread and butter
3 Buy delta 20 options with at least 80 days to expiration. (1% at risk max) - optional to start but should be added later.. the whole idea is that the delta 70s will provide us with a quick hit of instant gratification while the delta 20s can get in the money for a more exponential payday - it's a way to juice the returns.
The stop loss is the weekly ATR or 2x daily ATR.
Total risk per position of 3-5% is pretty aggressive. it could be lowered so total risk per position is under 2%.
We do not plan to lose the whole 3-5% because our trade management rules will take us out sooner most of the times.
For short entries the MA stacking rules and intermediate/long term momentum rules are reversed.
3. TRADE MANAGEMENT
There are basically 3 Scenarios here:
A. The squeeze "pops" (bollingers out of keltners) and the volatility increases and trade moves our way.
First profit target - the 1.27 fibonacci extension - take half off, move stop to breakeven
2nd Profit target - the 1.61 fib ext - take another half of. last 25% is a trailing stop.
B. The squeeze becomes "sloppy" and doesn't go our way.
If the price closes under the 21 MA for 2 days in a row - get out.
On two bars that show a loss of momentum in the squeeze indicator - get out.
C. We get stepped out at a max loss.
It's definitely more a more complicated system than the average system in here but it's super powerful.
While options limit the risk and increase our buying power, they also juice the returns because of the volatility increase.
We're not just betting on price moving higher, we're also betting that the volatility will spike in our favor...
Anybody game to work together on this with the indicators and codes I have to turn it into a bot? :)
thanks!
