Hi there,
I will share two simplified classic strategies and their respective mashup:
I. Simplified version of "Sell in May and go away" with SPY
Based on: https://www.quantopian.com/posts/time-to-sell-in-may-and-go-away
Less is more: small and simple mixed strategies
II. Simplified version of "50/200MA Crossover" with SPY
Based on: https://www.quantopian.com/posts/50-slash-200ma-crossover-strategy-spy-no-short-component
III. Smart SPY
Both strategies mixed: It reduces the max drawdown and improve the returns ;)
- I think it's a good practice to work progressively with simple and effective strategies.
- Alternatively you can short SPY instead of sell it: the returns will be better but the max drawdown will increase by 27%!!
IV. Smart SPY tweaked w/short component
- NO leverage, SPY=benchmark, code easy to read
- The rebalance frequency can be improved.
- Does this strategy could be optimized if it works with a group of stocks?
- How would implement the minute mode?
Enjoy!
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