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Blind vwap trades

To test out a popular theory- Apple stock leads the tech market

I decided to use Dan's vwap example to buy cisco stock, based on Apple's moving vwap. The results are interesting, and the performance is good, up until until April 5.

Clone Algorithm
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Backtest from to with initial capital
Total 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: 50388086045bc27f480017ef
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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1 response

@Rob
Great idea, in a lot of ways using Apple is cheating :). Maybe you could try something similar using a technology ETF instead of a single stock. This is a pretty good list of tech ETFs that will give you broader exposure. It might be necessary to think differently about the signal - I would expect Apple to lead the sector, but it also outperforms it.

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