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Market following algo
Atilla Yurtseven
posted

Hi all,

I have created an algo which simply follows the market. Reverse or Directional. For example, you simply chose an equity and algo will trade it. The returns chart will be similar to the price chart of the equity and highly correlated. It's like SPY vs SPX correlation. It works like ETF.

In the other hand, if equity lose during this time, algo will lose too. This is a buy only algo and works with stocks, futures, forex and every other tradable assets. If you like to go reverse of the chart, algo will short instead of long.

Ok here's the point of this post. Are such algos common or unusual? And useful?

Here are some screenshots

STOCKS
AMZN JNJ SPX FB

FX
EURUSD GBPUSD USDCAD USDJPY

Thanks,

3 responses
Atilla Yurtseven

Let me share some statistics as well

SPY

SPY  
---  
Total pos: 503 / 25.49%  
Won: 321 / 63.82%  
Lost: 181  
Max won: 13.860000000000014  
Max lost: 17.610000000000014  
Longs / wins: 503 321  
Shorts / wins: 0 0  
Avg. Profit: 1.69028  
Avg. Loss: 1.78308  
---  
Hold Min/Max/Avg/Total: 1 29 2 1404  
RRR: 0.95  
Profit Factor: 1.68  
Profit: 219.8426  
Profit Mean: 0.4379334661354569  
Profit STD: 2.5392883804560413

--- BENCHMARK (BUY & HOLD) ---  
BUY & HOLD       : 172.13 USD  
ALGO Returns     : 219.84 USD  
Diff             : 47.71 USD
Viridian Hawk

If it consistently beats the underlying then it is useful. Maybe compare the Sharpe Ratio of the underlying vs your algo's returns.

Atilla Yurtseven

I don't think that this algo can not beat the buy & hold for SPX. The purpose is totally different. Yes it protects you but i doubt it beats the market. Only if you go for portfolio, you have more probabilities.

I'm talking about the algo i have written :)

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