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Applying the Price/Earnings Ratio Strategy to an ETF

For some stocks such as the one displayed this strategy works amazing. However try something like FB and it would fail. What determines the success of this algo?

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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Volatility
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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: 54a43a95a56e87092e76973e
There was a runtime error.
2 responses

That decision is entirely up to you! There isn't a "one-size-fits-all" solution. The success of an algorithm depends on your investing style, tolerance, capital, and time horizon, among other factors. Some strategies will work in certain markets, others will only work with certain stocks.

I'd recommend to spend time reading about algorithmic investing and also coding in the IDE to discover what suits your personal style. Good luck!

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it performs horribly if you just change the time period from 2010 t0 2015 same ETF...

Clone Algorithm
2
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
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: 56737b20dfd99e11652d8786
There was a runtime error.