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Stable_Camel
24 Th02 2016 23:02

SPY Master v1.0 

SPDR S&P 500 ETF TRUSTArca

Mô tả

This is a simple swing trading algorithm that uses a fast RSI-EMA to trigger buy/cover signals and a slow RSI-EMA to trigger sell/short signals for SPY, an xchange-traded fund for the S&P 500.

The idea behind this strategy follows the premise that most profitable momentum trades usually occur during periods when price is trending up or down. Periods of flat price actions are usually where most unprofitable trades occur. Because we cannot predict exactly when trending periods will occur, the algorithm basically bets money on all trade opportunities during all market conditions. Despite an accuracy rate of only 40%, the algorithm's asymmetric risk/reward profile allows the average winner to be 2x the average loser. The end result is a positive (profitable) net payout.

TRADING RULES:

Buy/Cover = EMA3(RSI2) cross> 50
Sell/Short = EMA5(RSI2) cross< 50

BACKTEST SETTINGS:

- Period = March 2011 - Present
- Initial capital = $10,000
- Dividends excluded
- Trading costs excluded

PERFORMANCE COMPARISON:

There are 657 trades, which means 1,314 orders. Assuming each order costs $2 (what I pay for at Interactive Brokers), total trading costs should be $2,628.

-SPY (buy & hold) = 132.73 ---> 193.22 = +45.57% (dividends excluded)
-SPY Master v1.0 = $12,649 - $2,628 = $10,021 = +100.21%

DISCLAIMER: None of my ideas and posts are investment advice. Past performance is not an indication of future results. This strategy was constructed with the benefit of hindsight and its future performance cannot be guaranteed.
Bình luận
Trance-Man
What's the best way Spy Master to get realtime notifications of this 'buy' or 'sell' indicator from this chart? I would like to test this out a bit. Thanks!
Stable_Camel
I'm from Seattle so I go by Pacific Standard Time. What I'm doing is I use my iPhone. I open the link below on my Safari browser and then I add it as a shortcut on my homescreen. Then I click on the shortcut icon on my iPhone's homescreen and it takes me to the live chart. Because it's a 2h chart, I only check it at 6:30am, 8:30am, 10:30am, and 12:30pm for trade signals.
Trance-Man
Thank you, I will watch this a bit.
Stable_Camel
WiseInvestorClub
40% win rate lol ... no thanks.

You are over fitting this strategy based on past data
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