- Exponential Moving Average
- Moving averages might be limited, according to a friend.
- Range breakout
- Not sure if we have enough data for it. Could be cool though.
- Mean Reversion Algorithm
- Pairs Trading
- Could be a safe strategy as it was outlined in Seminar 2.
- https://github.com/KidQuant/Pairs-Trading-With-Python/blob/master/PairsTrading.ipynb
mean(PL): -18.2
return: -0.00095
StdDev(PL): 276.21
annSharpe(PL): -1.04
totDvolume: 4796462
Score: -45.77
- Uses a Padded Simple Moving Average.
- Beats the default!
- Needs tweaking with amount to buy/sell.
- Definitely a basic algo, but this current implementation can definitely be optimised to perform better.
mean(PL): -0.3
return: -0.00101
StdDev(PL): 1.81
annSharpe(PL): -2.37
totDvolume: 67317
Score: -0.45
Some ideas:
- Buy/Sell only when the percentage absolute difference of the SMA and Current Price is greater than a specific threshold (eg. 5%).
- Different window sizes depending on how volatile a stock is.
- Different Buy/Sell amounts depending on how volatile a stock is.
Future:
- Train a model with machine learning and use that