As lots of quantopian gives their valuable comments,I have also
backtested the algo for 10yrs data and i really want to see how the algo
is working on the 2007-2009 downturn ,i have modified some parts so here
is the latest result:
Winning Rate 0.56
Losing Rate 0.43
Avg Profit/Trade $8,514.35
Avg Loss/Trade $5,107.86
Avg Return/Trade (%) 0.73
Sharpe Ratio 1.55
Total Volume Traded 19,710,200
Total Trades 1,384
Max Drawdown (%) 8.04
Max Drawdown Duration 441 days
Investment = 1mn USD
Profit= 2.35 mn USD
return on investment = 235%
time period = Jun 01, 2005 @ 09:30 - Jun 19, 2015 @ 09:30
As the algo is good in terms of return and minimum drawdown,,when in
2008 market witness a 40-50 index down ,it downs only 8% and profit 235%
in 10 yrs i think not bad,only sharpe ratio is 1.55