Random algorithm with fixed stop-loss to take-profit ratio.

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

Random algorithm with fixed stop-loss to take-profit ratio.

Dmirti Kochubei

posted Jan 3, 2019

I'm thinking about it as another version of stock-picking cat experiment. (https://finance.yahoo.com/news/cat-pick-stocks-better-most-192600625.html)

We can't control the direction of the price and the only 3 things that we can control are the entry, side of the trade and exit. I'm thinking about randomizing the first two since it's a really hard task to work out a more or less OK algorithm not to mention a good one. While entry and the side of the "bet" hypothetically can be random the exit should not. The exit strategy for the algorithm is as follows: to fix the relationship between profit and loss levels with a ratio of 3:1 (or any other favorable ratio).

This approach itself brings a lot of further questions:

What should be the size of the universe ?
What should the allocation for each trade be
How to set the levels of P&L?
Should there be a horizon for any trade if it does not hit any of the price levels ?
Should the size of the allocation also be random?
.......

I don't have the algorithm yet.

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.