Simple swing trading ETF strategy: buy eod 2d highs
- Thread starter KCalhoun
- Start date
Why do not you backtest it? Or if you want, I can quickly code and backtest for you. Naked eye is cheating all the time. Too many strategies look good until they fail miserably at coded backtest
Calhoun has no track record data on his trades, no entry price, actual execution or final P/L. And be careful, or Calhoun will go ballistic on you and send his dolls to attack.
Who pays shipping on something like that, mac?
https://www.elitetrader.com/et/threads/listening-to.316404/page-72#post-5722951
https://www.elitetrader.com/et/threads/listening-to.316404/page-72#post-5722951
Great idea - test using volatile tickers eg SOXS SQQQ SOXL TQQQ UVXY TZA NIO DKNG SPCE CCL DAL AMD OXY MRO HAL TSLA
I don't have software to backtest, can someone run it?
Buy if current price ends within .2 of 2day high , sell if price gets .2 under pd low
@KCalhoun
I coded it for you but need to double check...
"within .2" = within 0.2% ??
PD = prior day ??
Right now I have:
(1) Enter on close if close > 0.998 * max( today's high, yesterday's high )
(2) Exit on close if close < 0.998 * yesterday's low
Assuming I have it right, the results are a real mixed bag...
--
RealTest Code:
Import:
DataSource: Yahoo
IncludeList: OXY
SaveAs: OXY_Yahoo.rtd
StartDate: 1993-01-01
EndDate: Latest
Strategy: KCalhoun
EntrySetup: Close > 0.998 * max(High, High[1])
EntryTime: ThisClose
ExitRule: Close < 0.998 * Low[1]
ExitTime: ThisClose
Last edited:
mixed result is expected
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.
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.
Nice job;
Thx for running the test, good to know