GMS: RSI & ROC Strategy by GlobalMarketSignals
By GlobalMarketSignals
Performance Metrics
- Author: GlobalMarketSignals
- Symbol: AMEX:SPY
- Timeframe: 1 day
- Net P&L: +24,777.58 USD (+24.78%)
- Win Rate: 86.7%
- Profit Factor: 8.267
- Max Drawdown: 1,895.40 USD (1.50%)
- Total Trades: 15
- Sharpe Ratio: −0.123
Description
Feb 27, 2020This is a basic strategy like the RSI one I posted. This one adds in the Rate of Change indicator as well.You can separate the two for RSI only and ROC only. Everything else is the same as the RSI strategy.- Simple moving average trend filter.- Simple moving average trade exit.- Both long and short or each on it's own.The source code should be open if you want to see it or modify it for your own project. I hope it helps!AndreGlobal Market SignalsMar 5, 2020Release NotesI just added in a % profit target and % stop loss. Each has an on/off switch so you can test each other together or independently!Also changed the default values for the ROC Upper and Lower from 0.01 & -0.01 to 1 & -1I hope it helps,Andre