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Brokerage Integrations come and go, but Algos are forever (or, "This is my first/last algo, thoughts appreciated!")

Hi folks

This is obviously a live-trade algorithm, not a contest algorithm. I'm not skilled enough for that, nor do I have the time necessary to devote to get anywhere near that level. I know live-trading will be gone very, very soon (waaaaay too soon, but I'll not rehash that discussion), but this is the first algo I've come up with mostly from scratch instead of by cloning/tweaking something from someone else, and I wanted to share it before it all goes away.

The basic premise is that it taps a trend I've been seeing since the inauguration of Glorious Leader for leveraged ETFs and ETNs to spike in the first hour or two of trading, often >3%. This tries to pick it up at 2% or so and sell at 2.5%, so it's fairly high volume on day-trades which actually is an issue for me since I'm just a poor boy from a poor family and don't have the $25k+ necessary to avoid PDT flagging issues, but it might work well if you have that amount sitting around. The return was fairly high and the max DD seemed fairly reasonable for that level of return, so I wanted to share - though of course, I could easily be an idiot and have it doing something weird to produce such good returns, so if that's the case let me know and I'll swallow my embarrassment long enough to thank you.

I'm hoping that this trend will continue in the future (like I said, seems to be doing well since the inauguration, so maybe 3.5 years of good returns?), I've been tapping it the last couple of weeks as timing allows with manual trades, but I don't always have the time to sit in front of the computer and watch stocks tick, hence the dive into Q in the first place. It's set up to run on Robinhood since that's what I was using for live-trading. I set it up using what I think is a decent basket of ETFs/ETNs that can easily be adjusted if you want to.

I know a lot of the live-traders are gone or will be soon, but if there's anyone out there who wants to take a look, advice/tips/improvements/hate mail/constructive criticism would be greatly appreciated. I do intend to eventually port this and some other stuff to another platform (God only knows which one right now, but again, not the point here), and I'd love to tap the wonderful expertise I've seen on display here at Q to make this as good as the limits of its simplicity allow.

Clone Algorithm
31
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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
--
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: 59bca02358c1d45058b77f5a
There was a runtime error.
3 responses

Hi. I see this algo works well since the year 2016, but before it has not a good profit. Is there any reason for it?

I'm guessing that a lot of it has to do with the nature of these leveraged ETF/ETNs. A lot of them have lost a LOT of value since their inception (some, like UVXY, are frankly defective), but they've all stabilized at a price point people were willing to play around with over the last year or so. Take GUSH as an example, it's one of the securities that most clearly displays the trend I'm trying to capitalize on. It's inception date is May 28, 2015. It wasn't even around much before 2016, and prior to 2016 it lost about 2/3 of its value since it wasn't being heavily traded. When the volume started to pick up, the price stabilized, and it's behaved normally since. It's only in the last year that its daily trading volume has exceeded 1M.

In short, these sucked while they were in diapers and were learning to crawl. Now that they're walking normally, they're doing great.

Made a lot of different tweaks to avoid issues with margin, over-ordering, etc. Did a really basic sensitivity analysis to try and maximize returns based on some of the key thresholds used in the algo. Also, significantly altered the basket of securities to try and minimize the number of stops.

Lower DD, lower returns, much lower beta. I think still fairly good for a beginner.

Clone Algorithm
23
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: 59cacff8a2408354a3ec77be
There was a runtime error.