Simple APF Strategy Backtesting [The Quant Science] by thequantscience
By thequantscience
Performance Metrics
- Author: thequantscience
- Symbol: NASDAQ:NDX
- Timeframe: 1 day
- Net P&L: +64,771.37 EUR (+6.51%)
- Win Rate: 99.6%
- Profit Factor: 2,250.329
- Max Drawdown: 39,927.73 EUR (3.87%)
- Total Trades: 278
- Sharpe Ratio: −2.419
Description
Simple backtesting strategy for the quantitative indicator Autocorrelation Price Forecasting. This is a Buy & Sell strategy that operates exclusively with long orders. It opens long positions and generates profit based on the future price forecast provided by the indicator. It's particularly suitable for trend-following trading strategies or directional markets with an established trend.Main functions1. Cycle Detection: Utilize autocorrelation to identify repetitive market behaviors and cycles.2. Forecasting for Backtesting: Simulate trades and assess the profitability of various strategies based on future price predictions.LogicThe strategy works as follow:Entry Condition: Go long if the hypothetical gain exceeds the threshold gain (configurable by user interface).Position Management: Sets a take-profit level based on the future price.Position Sizing: Automatically calculates the order size as a percentage of the equity.No Stop-Loss: this strategy doesn't includes any stop loss. Example Use CaseA trader analyzes a dayli period using 7 historical bars for autocorrelation.Sets a threshold gain of 20 points using a 5% of the equity for each trade.Evaluates the effectiveness of a long-only strategy in this period to assess its profitability and risk-adjusted performance.User InterfaceLength: Set the length of the data used in the autocorrelation price forecasting model.Thresold Gain: Minimum value to be considered for opening trades based on future price forecast.Order Size: percentage size of the equity used for each single trade.Strategy LimitThis strategy does not use a stop loss. If the price continues to drop and the future price forecast is incorrect, the trader may incur a loss or have their capital locked in the losing trade.Disclaimer! This is a simple template. Use the code as a starting point rather than a finished solution. The script does not include important parameters, so use it solely for educational purposes or as a boilerplate.