Long Term Long/Short Strategy (Pair Trading) by danilogalisteu
By danilogalisteu
Performance Metrics
- Author: danilogalisteu
- Symbol: BMFBOVESPA:SMAL11/BMFBOVESPA:BOVA11
- Timeframe: 1 week
- Net P&L: +184,109.02 NONE (+163.05%)
- Win Rate: 53.3%
- Profit Factor: 2.028
- Max Drawdown: 41,324.94 NONE (19.38%)
- Total Trades: 77
- Sharpe Ratio: 0.172
Description
Longing or shorting an asset ratio depending on long term trend.Long term trend is defined by crossing of an asset or index and its SMA.Input values:* trend asset* SMA configuration (periods, resolution)* strategy: long only, long/short, short only