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Relatively Low-Risk, 48% Above Benchmark Return Since 2002
Timothy Harden
posted

Went back as far as I could to ensure reliable numbers. Looks like it has a weakness where it joins in on a tanking security that isn't done tanking and abandoning more stable indices. (see first third of backtest)

Basic idea is when one of the three major index composites hits a lower extreme, sell everything else and invest in the bottom-dweller. Might include a one or two week minimum hold time to avoid hopping from one tanking fund to another.

*Note: If I had started the backtest in June 2002 instead of January the results would have been much better.

4 responses
Timothy Harden

Oh, the algorithm was named "Barrel Scraping Adjusted Sample Talib Rsi 1" as it borrows code from Quantopian's Sample Talib Rsi 1 int the 'Help/API" area.

Alisa Deychman

Glad you found the RSI code helpful! Looking at the risk metrics, the algorithm has a max drawdown of 50%, is this something you would be able to stomach? This is a decision individual to each investor. From the graph, it looks like the algorithm underperformed the market from 2002- 2009, but now the strategy appears to show merit. Success of strategies comes and goes with the market conditions, perhaps you are working on one that shows promise.

If you're interested in trying it in today's market, I would convert the backtest to minute mode and you can paper trade it to watch the results.

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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.

Timothy Harden

Yeah, i'm having issues with it on minute data. Despite the fact run once each day the results are much worse. Not sure what's going on. Maybe it has something to do with the time of day that the trades are made.

James Jack

Time of day has had a big effect in other algos. Play around with the timing.

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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.