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A simple algorithm purchasing on a fluctuating stock

I wanted to see what would happen if you let a stock run through the waves of time. It's designed to sell after the price goes up by 25%, and then rebuy when the price is 80%.

The glaring flaw is that if it goes into a stock that just tanks, well, you lose all your money.

I have the stock purchase go on even minutes because I wanted to make sure the orders didn't go into the negative. After working for EMC for so many years, part of me wished I did this, so I wanted to see what happens if I listend to my gut and put the money in. :)

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5036f1bd96a343708c0009d8
This backtest was created using an older version of the backtester. Please re-run this backtest to see results using the latest backtester. Learn more about the recent changes.
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2 responses

Hi Wassaf,

Thanks for sharing this. I notice there's a long period in the middle of your test where you don't buy or sell anything. I'm guessing EMC's price was relatively stable during that period. I'd be curious to see how this algo behaves behaves if you made the buy/sell triggers closer to the starting price (eg. 115% buy and 90% sell). You also mention that you added special logic to ensure that your orders don't go negative. Was this part of your strategy? The backtester will allow you to hold a negative position in a security, effectively simulating a short position.

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Not going negative was part of the strategy - I don't have a strong understanding of short positions to make sense of what I'm doing. The long flat period is because I wasn't holding any positions at the time. Adding some more stocks to go with the same algorithm should reduce that downtime.

I'm also curious about making the spread closer to see what happens... let's clone the algorithm and find out!