How to determine strategy is ready for live trading?

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How to determine strategy is ready for live trading?

posted Feb 25, 2017

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I have been playing with my strategy for a while. I am wanting to use like $5000 capital base for my algorithm. I have created a fundamental algorithm that buys 10 stocks monthly loosely based on Benjamin Graham fundamentals and indicators. It has a %10 trailing stop loss. I do well on the 2008 and 2010 backtest. But when I start in 2014 or 2015 the results are poor.

I am looking for suggestions on why my algorithm is performing well starting on certain dates and not on others. Am I missing a statistical model to find more correlations to generate alpha? Any help would be greatly appreciated.

1 response

Here is the backtest starting in 2015. I am wondering why I see such a significant difference in performance.

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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.