Relative Returns Strategy by Trendoscope
By Trendoscope
Performance Metrics
- Author: Trendoscope
- Symbol: ASX:FMG
- Timeframe: 1 day
- Net P&L: +1,441,916.65 AUD (+1,441.92%)
- Win Rate: 58.3%
- Profit Factor: 6.798
- Max Drawdown: 107,720.39 AUD (44.78%)
- Total Trades: 24
- Sharpe Ratio: 0.169
Description
Jan 2, 2021Looks like an ultimate strategy for buy and hold investors.This is designed based on the indicator : Converting that into strategy with little optimization yield this. One change here is, instead of using the return percentage directly, we are using moving averages on both of them.Buy condition : Moving Average on stock return crosses over that of index return.Sell condition : Moving Average on stock return crosses under that of index return.Apr 11, 2021Release NotesRemove calc_on_order_fills