Recent content by doublewobble

AB has an IB interface: http://www.amibroker.com/at/

I have reworked the strategy, correcting a bug in the sizing algorithm and somewhat altering the rules. Most importantly, I plotted the trade amounts and did not like what I saw at all. As the maximum amount was 20% of the portfolio value at the moment (position sizes are not adjusted later)...

What do you mean by "only quantitative"? Only technical with no fundamentals?

Many thanks for all opinions. I have not started paper trading yet (had some time-consuming trouble in other fronts). I hope to paper trade from some date in September to the end of this year. Will post results.

@Daniel.a Changed commission to 0.01. The results: Initial capital 100000.00 Ending capital 2754165.87 Annual Return % 21.21% Avg. Profit/Loss % 0.42% Max. system % drawdown -7.31% Sharpe Ratio of trades 2.00 What value do you recommend for the commission?

@RedDuke I appreciate your comment. Please refer to the performance for 2004-2009 in one of my earlier posts and feel free to express your opinion. I just found out that @ works at this forum. Thanks in advance, etc.

@SunTrader Could you advise how to include slippage better? As short as I can understand, the slippage is a function of traded volume. Is the 1% rule not sufficient? My initial capital is fairly low, 100 000 $ (close to reality).

@Daniel.a This is my first strategy that kind of works and for the time being, the only one. However, I fully understand the reason why one should have many of them. I have just not had enough time to create more. A short only strategy following the same train of thought will be the next one...

Thanks for your thoughts. Yes, my data starts in the April 1st 2004. RedDuke, you made a valid point about the bull market. Admittedly, the performance of the recent years is the best. However, for the 5 year period from the April 1st 2004 to the April 1st 2009, during which the SP500 fell from...

I will not disclose the precise entry & exit signals. No, all SP500 constituents are watched. Positions are sized not to exceed 20% of the Portfolio Equity and 1% of the volume of the same hour of the previous day. If multiple signals are received at the same time, the available resources are...

I do believe so. It utilizes RSI in a peculiar way together with additional rules for risk management.

Absolutely. I was rather surprised to find such a high quality thread.

Dear All, I have formulated my first strategy that looks anywhere near promising in backtests. Could you please give your opinion? Software: Amibroker. Frequency: hourly. Data: SP500 stocks 1.04.2004-1.04.2021 (obtained from the FirstRateData, KMI omitted). 761 symbols traded (probably more...

I started with stocks but wanted to experiment with CFDs, too. I am not a particular fan of the CFDs but I would like to understand how they work.