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Net Movement Score | A Simple Way To Get Better-Than-SPY Returns
jacob shrum
edited Jun 20, 2017

Simple little algorithm.

Net Movement Score: (probably already exists, but I study statistics, not trading indicators) binary operator. if a stock goes up in price, it gains a point, if it goes down, it loses a point.
It doesn't matter if the stock goes up $100 or $0.01, it gains 1 point.

At one point, this algorithm also held short positions as well, i went ahead and removed that to make this robinhood friendly. Some parts of this are still left over.

I didn't intend for this to be something used for trading but the returns were ok.

3 responses
Jake
Jun 20, 2017

Nice algo, try and working on decreasing the beta, and maxbe max drowndown

jacob shrum
Jun 20, 2017

This isn't meant to be traded with (I woudln't anyway), I made it as a market crash indicator. What this is looking for is decreases is max net score: indicating that prices are dropping faster than they are rising (across the board) over the time period. This only does the calculation monthly since it takes like 8 minutes just to do the calculation. Backtests that measure this value daily haven't experience drawdowns past 5%... but a 14 year backtest, in full, would take days to complete. Every time ive tried, quantopian eventually messes up somewhere and throws an error (no specific error, just a "something went wrong, sorry" error; which I assume is some sort of memory validation error).

This used to hold shorts to see if there was anything to be inferred from the bottom end but it was far too volatile.

It did well in terms of returns so i figured I'd post it.

Im optimizing it now.

jacob shrum
Jun 23, 2017

Made some slight changes

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