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William's Volatility Fix - help

Hi everyone,

I did this backtest trying to profit from the William's Volatility Fix signal from this page:
https://www.tradingview.com/script/og7JPrRA-CM-Williams-Vix-Fix-Finds-Market-Bottoms/

Do you have any suggestions for this algorithm that I tried to use for the apple stock?
It's for a university project, any help will be greatly appreciated.
Thanks in advance!
Mattia

Clone Algorithm
13
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: 5a0c3b7a629bfb41e15b14c4
There was a runtime error.
3 responses

Mattia,

It looks like my code from here with some unexplained parameters.

What is the purpose of that university project ?

Hi Vladimir,
I'm in a class of systematic investment strategies, in which every week we get signals or strategies that we need to implement; and try to improve our codes by discussing them.
Yes it's the code that you suggested me last week, I tried to multiply the original:

if data.can_trade(stock):  
        if WVF[-1] < LB  

part by 100 and for 10 in the other elif part. What I was trying to do is trying to get better returns by trading just in extreme situations, in order to reduce false positives (or at least that was the original idea). The backtest gave pretty good returns and I was satisfied, but I wasn't sure if it could have been realistic with the modifications I did...that's why I asked to the community; this forum is full of expert people that could definitely help an amateur like me =)

I hope you didn't get offended because I basically posted your code again, my aim is just to learn.
Mattia

Here's my implementation of WVF on XIV using exponential moving averages of the WVF to trigger buy/sell signals.

Clone Algorithm
122
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: 59fe0e295c1e8c414b26f0c3
There was a runtime error.