February 4th, 2017

A Trading Strategy's Search For Profits

The HTML file at the end of this article relates to my transformation of a cloned trading strategy as found on the Quantopian website. It was first declared as not worth pursuing. But I like to take such strategies and make them do more. A kind of demonstration of what you can find in my book holds.

The premise is simple. If the stuff presented in my book works. Then, almost as a foregone conclusion, based on those principles, I should be able to make such a trading strategy outperform. And the applied trading procedures would have a positive impact on the overall performance level. That is what this HTML file is all about. Making do with what was ordinary stuff, and making it great. You be the judge.

I wanted to show that I could take a trading strategy's signature: A(t) = A(0) + n∙u∙PT, and simply make it do more. As illustrated in my book, I wanted to transform the above equation. I wanted it to result in:

A(t) = A(0) + (1+g)^t ∙n∙u∙PT.

To do so, the only requirement is to provide: g>0. And since g is compounded, it would have an impact over the entire duration of the portfolio, over every trade taken.

The modifications brought to this trading program are the same type as found in my book. Nothing fancy. Nonetheless, based on the above formula, you have all the variables you need to work with.

This was also chronicled live, step by step, in a Quantopian website forum.

Here is the HTML file which will better explain what was done.

HTML file.


Created... February 4th, 2017 © Guy R. Fleury. All rights reserved.  

Alpha Project