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Simple dual vwap with percentage based "take profit" and "stop loss"
Adam McBride (Turner)
posted

This needs more bug-testing, but I thought other people might find it useful anyway ;)

The main feature I was working on was the take profit and stop loss, which seem to work (nearly lol).

What this means is that if an opened long position reaches a desired level of profit (as a %) it will close trading (cashing in on the profit before continuing to trade), and if the positions value declines by a set amount (again a percentage) it will also close the trade (preventing further losses).

Hope it comes in useful and feel free to post improvements! (I can count my days using python on one hand still)

4 responses
Thomas Wiecki

Very cool, thanks for sharing!

One thing you might want to test is if you can reduce risk by trading a portfolio (see for example the dual moving average 0.2).

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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.

Adam McBride (Turner)

I'll have to try that =)

(Once I figure why the algorithm fudges the first trade in every backtest lol)

Taibo Li

Thanks Adam for the idea!

I'm a bit impatient :P knowing that Apple's stock price has been steadily reducing, I decide to sell it whenever I've been holding Apple shares for 90 days.. and then the result seems not as good as expected but may be worth trying.

Victor Zakharenko

You helped me so much.

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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.