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Robinhood Needs his Fix of VIX

This algorithm is a combination of two of my favorite algorithms, affectionately known as sub-algorithms in
this post. Both sub-algos are moderately modified versions of original postings here on the community forum.

1. Robinhood Throws A Party  
    Slightly modified to incorporate MACD on each trade, in order to prevent bad trades.  
    I also think that I changed the time of day that the trades execute to market open,  
    if I remember correctly -- the original was 7 minutes after open, I may be wrong.

2. VIX strategy (I can't remember the original name)  
    Slightly modified to incorporate MACD on each trade, also sets stop loss due to high  
    volatility and max-drawdown on this algo.

    I have posted earlier revisions of the original VIX strategy, but I have since seen  
    much better by calculating the MACD of SPYG - growth, rather than SPY.

This algorithm is supposed to provide a solution to two major issues, on each sub-algo, respectively:

1. Robinhood Throws A Party  
    This algorithm sees higher returns than the original posting due to incorporation of MACD  
    and VIX strategy. I believe (don't quote me) better beta and (maybe?) drawdown aswell.

2. VIX strategy  
    This algorithm sees much lower drawdowns than the original, also far less returns.  
    BUT! It doesn't use any cash on loan, as the original was borrowing money from broker  
    which I don't like to do, and Robinhood does not currently support.

    This makes the backtesting on the original algorithm invalid for use on Robinhood.

    This algorithm also sees a much better beta than VIX original, due to the lower volatility  
    provided from RHTAP sub-algo.

Things I don't like about this algorithm, which the community may be able to help with:

1. Doesn't scale well with higher initial capital. For example, far less returns @ $100,000 and $1,000,000  
    1,A: I think this is because we're relying too much on VIX sub-algorithm. I cannot find a way to make  
         the Robinhood Throws A Party portion to dedicate more cash. It seems like there is a maximum investment  
         restriction on this sub-algorithm, but I cannot find anything that would cause this.

         We want to apply more capital towards RHTAP, not VIX strategy.

2. The max drawdown sucks. It's not as bad as strictly VIX strategy, but how can we lower this, any better  
   indicators to predict future lows and exit trades? Maybe set a stop loss after all trades, but this may  
   conflict with the Limit sell orders.

3. I want future results to match the backtests as close as possible (Duh, so does everyone else on here lol).  

Things to note:

Sorry for less-than-elegant code, it's been kind of a rats nest of attempts to push this algo further, while  
also mitigating risk.

So! If you think you can provide some insight on this algo, post your results! :)

Clone Algorithm
51
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: 57ed354a846d5e105145bee4
There was a runtime error.
3 responses

You gotta be realistic with your expectations. If you could scale those enormous returns to bigger portfolios, hedge funds would be making that much.

The problem with these algos is that they are almost just an amplification of the market; especially if you consider it over a more recent time period.

For example, look at the performance of this algo over the last couple of years or so - the beta is just too high.

Clone Algorithm
5
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: 57edb94ff6fca0104955e9ac
There was a runtime error.

Yeah, the beta from 2012-2016 was 0.76 which I believe is a good number, and as stated above, this algo doesn't take well to high capital vs $1000 :/