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My Algo, please critique; 9% return, 2.01 sharpe, 1.5% draw

I joined a month back and am new to Python. Wrote few algos and liked this so sharing for your review. It goes only long for now and trades SPY.

Tested YTD and returned 9%

The Logic is buy SPY on three conditions: low RSI, price > mavg100, down two points from high of day
If price movies up then sell for a dollar profit but if price moves down don't take a loss and stay holding
In choppy markets and when markets are going down it performs better than SPY
When market is steadily going up it may not go up as well as SPY but returns good positive results
Overall it feels much "safer" than SPY

Please let me know your thoughts

  • Sam
Clone Algorithm
41
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Backtest from to with initial capital
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# Backtest ID: 56030ccc63a98c0e13e6c632
There was a runtime error.
1 response

Sam, great first algo! You've indeed smoothed out some volatility from SPY, and the drawdown is good. Have you thought about taking this strategy and applying it to a larger basket of stocks? Also, consider how the strategy performs over longer periods of time.

I ran your algo over the last 5 years and the performance is below. If you're interested in developing this algo for the contest, I'd suggest to add more securities with a hedge to reduce your market correlation. Good luck!

Clone Algorithm
19
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: 5613f38e6ad13e10a3d9ddef
There was a runtime error.
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