Simple swing trading ETF strategy: buy eod 2d highs

[Statistical Trader]

Nice job;

Thanks.

Thx for running the test, good to know

You're welcome.

 

[SoyUnGanador]

My favorite swing trading strategy is to simply buy / scale in to charts that end at a 2day high.

eg I bought 1000 uvxy eod fri, I'll buy more eod today if it closes >8.

Also trading BITI KOLD SQQQ

Ken, you are awesome. You come in here, give your exact strategy, and allow people to try and throw shi*t at it. Gonna try some Excel testing on my end to see how it does! Do you do it any stocks individually, or mostly just ETFs and what not?

Thanks!!!

 

[Overnight]

Thx for running the test, good to know

So you never ran a test like that? Why not?

 

[KCalhoun]

To correctly test, you'd have to include what I do re position sizing and re-entries.. which can't easily be backtested

 

[KCalhoun]

Ken, you are awesome. You come in here, give your exact strategy, and allow people to try and throw shi*t at it. Gonna try some Excel testing on my end to see how it does! Do you do it any stocks individually, or mostly just ETFs and what not?

Thanks!!!

Both etfs and daily gappers

 

[Statistical Trader]

To correctly test, you'd have to include what I do re position sizing and re-entries.. which can't easily be backtested

I'm curious what kind of position sizing rules you use? Or is it discretionary?

 

[lindq]

To correctly test, you'd have to include what I do re position sizing and re-entries.. which can't easily be backtested

You've been using TradeStation for years. Why are you asking for coding help?

 

[KCalhoun]

You've been using TradeStation for years. Why are you asking for coding help?

I use eSignal

 

[KCalhoun]

I'm curious what kind of position sizing rules you use? Or is it discretionary?

It's dependent on several factors, but a simple version would be to add 50% of initial trade size after each 2day high gets taken out during upside breakouts. Same for scaling out during pullbacks, selling shares.

I also vary size based on s&p strength and duration of trend, VIX etc.

So it's multivariate, which I don't know how to accurately backtest.

Plus I go cash into earnings, and before fomc releases.

So it's a solid approach, but likely tough to backtest, without manual calculations to do all that stuff. But feel free to try, it should prove useful.


Tickers: EXTR DHT GPS PARA FLEX DE NOTV SQQQ

 

[trend2009]

Since I didn't receive any corrections, I'll assume I interpreted the strategy correctly. Here are the results (2012-2022):

Ticker | Max Drawdown (%) | Sharpe
SOXS | -93 | -0.48
SQQQ | -87 | -0.63
SOXL | -69 | -0.09
TQQQ | -51 | +0.39
UVXY | -89 | -0.78
TZA | -85 | -0.42
NIO | -30 | +0.65
DKNG | -51 | -0.32
SPCE | -34 | +0.02
CCL | -36 | +0.01
DAL | -28 | +0.33
AMD | -33 | +0.51
OXY | -66 | -0.19
MRO | -42 | +0.07
HAL | -29 | +0.19
TSLA | -61 | +0.10

The mean of these sharpe values is -0.04; the standard deviation is 0.41. In other words, statistically speaking the resulting PLs are just random noise. There's nothing to the strategy, at least as originally stated. Sorry @KCalhoun.

I'll post the equity curve for one or two of the equities if someone asks for it.

good job