OPEN-SOURCE SCRIPT
Telah dikemas kini Simple way to BEAT the market [STRATEGY]
This script has been created to demonstrate the effectiveness of using market regime filters in your trading strategy, and how they can improve your returns and lower your drawdowns
This strategy adds a simple filter (A historical volatility percentile filter, an implementation of which can be found on my trading profile) to a traditional buy and hold strategy of the index SPY.
Note, There are other filters that could also be added including a long-term moving average/percentile rank filter/ADX filter etc, to improve the returns further.
The filter closes our long position during periods of volatility that exceed the 95th percentile (or in the top 5% of volatile days) and buys back when the volatility is below 95% rank of the past 100 days
Have included the backtest results since 1993 which is 28 years of data at the time of writing. Comparison of traditional buy and hold with this modified strategy can be found below:
Traditional buy and hold:
'Modified' buy and hold (this script):
Feel free to use some of the market filters in my trading profile to improve and refine your strategies further, or make a copy and play around with the code yourself. This is just a simple example for demo purposes.
This strategy adds a simple filter (A historical volatility percentile filter, an implementation of which can be found on my trading profile) to a traditional buy and hold strategy of the index SPY.
Note, There are other filters that could also be added including a long-term moving average/percentile rank filter/ADX filter etc, to improve the returns further.
The filter closes our long position during periods of volatility that exceed the 95th percentile (or in the top 5% of volatile days) and buys back when the volatility is below 95% rank of the past 100 days
Have included the backtest results since 1993 which is 28 years of data at the time of writing. Comparison of traditional buy and hold with this modified strategy can be found below:
Traditional buy and hold:
- Return per year: 7.95 % (ex Dividends)
- Total return: 851.1 %
- Max drawdown: 50.79 %
'Modified' buy and hold (this script):
- Return per year: 9.92 % (ex Dividends)
- Total return: 1412.2 %
- Max drawdown: 31.57 %
Feel free to use some of the market filters in my trading profile to improve and refine your strategies further, or make a copy and play around with the code yourself. This is just a simple example for demo purposes.
Nota Keluaran
Remove some documentation commentsSkrip sumber terbuka
Dalam semangat TradingView sebenar, pencipta skrip ini telah menjadikannya sumber terbuka, jadi pedagang boleh menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupuan anda boleh menggunakan secara percuma, ingat bahawa penerbitan semula kod ini tertakluk kepada Peraturan Dalaman.
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.
Skrip sumber terbuka
Dalam semangat TradingView sebenar, pencipta skrip ini telah menjadikannya sumber terbuka, jadi pedagang boleh menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupuan anda boleh menggunakan secara percuma, ingat bahawa penerbitan semula kod ini tertakluk kepada Peraturan Dalaman.
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.