Labels

Sunday, October 2, 2016

DayTrading Algo

Below is a virtual One Side DayTrading robot tested on SPX.  
------------------------------------------------------------------------------------------
Rules 

1. Every trading day: If no position open SPX position at the end of the trading day.
2. Next day close the position if losses > 0.25%.
----------------------------------------------------------------------------------------
LONG SHORT
year % change drawdown win/loss ratio year % change drawdown win/loss ratio
2005 14.16 -1.60 0.65 2005 1.97 -1.77 0.4
2006 17.26 0.35 0.68 2006 -4.49 -5.3 0.43
2007 31.34 -1.30 0.54 2007 25.7 -2.6 0.45
2008 51.61 -7.10 0.26 2008 99.05 -0.26 0.35
2009 57.07 -2.65 0.39 2009 52.95 -0.67 0.31
2010 39.13 -1.70 0.52 2010 21.76 -1.1 0.37
2011 55.32 -1.30 0.54 2011 61.12 -0.65 0.45
2012 25.88 -1.09 0.53 2012 10.77 -5.08 0.47
2013 30.43 -0.42 0.79 2013 2.97 -2.72 0.47
2014 21.81 -0.75 0.65 2014 0.03 -3.03 0.38
2015 33.40 -0.52 0.53 2015 37.94 1.07 0.63
2016 16.62 -3.16 0.52 2016 18.02 -0.26 0.57

No comments:

Post a Comment