Swing Trading SPX Correlation — Strategy by exlux
By exlux
Performance Metrics
- Author: exlux
- Symbol: SP:SPX
- Timeframe: 1 day
- Net P&L: +106,765.08 USD (+10.68%)
- Win Rate: 50.0%
- Profit Factor: 2.932
- Max Drawdown: 15,575.85 USD (1.56%)
- Total Trades: 48
- Sharpe Ratio: −0.205
Description
This is a long timeframe script designed to benefit from the correlation with the Percentage of stocks Above 200 moving average from SPXAt the same time with this percentage we are creating a weighted moving average to smooth its accuracy.The rules are simple :If the moving average is increasing its a long signal/short exitIf the moving average is decreased its a short signal/long exit.Curently the strategy has been adapted for long only entries.If you have any questions let me know !