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Recruitment of participants Rubber band Trading Strategy

Discussion in 'Amibroker' started by Dron, 25 January 2024.

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  1. Dron

    Dron Well-Known Member
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    #1 Dron, 25 January 2024
    Strategy 61: Rubber band Trading Strategy

    The backtested strategy works for a wide range of indices and stocks.

    Performance metrics (Nasdaq 100):
    • No. of trades: 283
    • Average unleveraged gain per trade: 0.98% (2.4% for winners and -2.5% for losers)
    • Win ratio: 70%
    • Profit factor: 1.8
    • CAGR: 11.3% (assuming no leverage)
    • Exposure/time in the market: 18%
    • Risk-adjusted return: 63% (CAGR divided by time spent in the market (0.185))
    • Max. drawdown: -23%
    The equity curve (log scale):

    [​IMG]
     
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