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My Algo, please critique; 9% return, 2.01 sharpe, 1.5% draw
sa poth
posted Sep 23, 2015
Contest Hedge Fund

I joined a month back and am new to Python. Wrote few algos and liked this so sharing for your review. It goes only long for now and trades SPY.

Tested YTD and returned 9%

The Logic is buy SPY on three conditions: low RSI, price > mavg100, down two points from high of day
If price movies up then sell for a dollar profit but if price moves down don't take a loss and stay holding
In choppy markets and when markets are going down it performs better than SPY
When market is steadily going up it may not go up as well as SPY but returns good positive results
Overall it feels much "safer" than SPY

Please let me know your thoughts

  • Sam
1 response
Alisa Deychman
Oct 6, 2015

Sam, great first algo! You've indeed smoothed out some volatility from SPY, and the drawdown is good. Have you thought about taking this strategy and applying it to a larger basket of stocks? Also, consider how the strategy performs over longer periods of time.

I ran your algo over the last 5 years and the performance is below. If you're interested in developing this algo for the contest, I'd suggest to add more securities with a hedge to reduce your market correlation. Good luck!

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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.