Modified SHARPE index portfolio strategy

Modified SHARPE index portfolio strategy

This simple strategy is a LONG only. It enters the market when the modified SHARPE index crosses  definitely above 1 (I used 1 to cut false signals but 0 could work just fine) and exits in one of the following cases:

1. price crosses below SMA256

2. when, at a trimester check, SHARPE index is not anymore above 1

3. after one year of investment

It works best with 20-30 stocks portfolios, so this strategy should be launched on a selection of stocks.

Blue skies!!

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Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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  1. Nicolas • 09/19/2017 #

    Hi Gabri, thanks a lot for this code and for all the others you already shared with us 🙂
    I think there would be an error in line 31? about the indicator and its limit, if you want to test if the indicator is under the limit for the last 5 periods, the code should be: summation[5](idx < lim)=5
    But I may be wrong?

  2. gabri • 09/19/2017 #

    Nicolas,
    line 31 is making sure that, on the trimester check, if the summation is below the limit the stock is sold. The way is written works for me. Thanks for keeping en eye on my work!!

  3. Gertrade • 09/19/2017 #

    Hi Gabri, below code buy sell optimized with money management on DAX 4H. Thank’s.
    //————————————————————————-
    // Code principal : mio – sharpe DAX 4h
    //————————————————————————-
    // Definizione dei parametri del codice
    DEFPARAM CumulateOrders = False // Posizioni cumulate disattivate

    // Money Management
    Equity = 500+(StrategyProfit*3)
    Risk = 0.1
    n = Max(1,Equity*Risk/51/PipValue)

    // ————
    Losses = positionperf(38)>0
    Wins = positionperf(38)limh
    c11=close>sma1
    c2=summation[4](idx)<limb
    c21=closep
    c4=close crosses under sma1
    c5=longonmarket and (barindex-tradeindex)>8 and (barindex-tradeindex)<52

    IF c3 or c4 or (c5 and (summation[5](idx)p
    c7=close crosses over sma2
    c8=shortonmarket and (barindex-tradeindex)>8 and (barindex-tradeindex)limb)) then
    EXITSHORT AT market
    ENDIF

    // Stops et objectifs
    SET STOP %LOSS sl
    SET TARGET %PROFIT tp

  4. gabri • 09/19/2017 #

    Thanks a lot!!

  5. dani85pc • 09/19/2017 #

    ciao gabri, puoi spiegarmi in italiano di cosa si tratta???

  6. gabri • 09/19/2017 #

    Dani,

    questo e’ un sistema di investimento (non trading) o buy and hold come qualcuno lo chiama. Entri lungo quando l’indice di Sharpe supera il valore di 1 (ma va bene anche 0 – trovo che uno lavori meglio come filtro) e tieni il titolo per un anno. Ho aggiunto anche altre due possibili uscite. La prima e’ quando il valore del titolo scende sotto la SMA254 (media mobile semplice a 254 periodi) e la seconda e’ quando il titolo dopo tre mesi non e’ piu’ sopra il valore 1 dell’indice di Sharpe. In realta’ questa sarebbe una strategia da seguire usando solo l’analisi finanziaria ma ho cercato di adattare (per quel poco che e’ possibile) il sistema anche per coloro che preferiscono l’analisi tecnica.

    Gabriele

  7. dani85pc • 09/19/2017 #

    pensavo fosse un trading system
    non hai niente del genere??

  8. gabri • 09/19/2017 #

    La differenza tra trading e investing rimane nel tempo di hold. Meno di tre mesi (per qualcuno 6 mesi) e diventa trade, piu’ di tre mesi (per qualcuno 6) e’ investing. Un indicatore fornisce solo segnali e niente piu’.

  9. AlexF • 09/19/2017 #

    Hi Gertrde,
    your code gives error at line 24

    Wins = positionperf(38)limh

    is it correct?

  10. simoneb • 09/19/2017 #

    ciao Gabri, potresti il modo più efficace per selezionare il paniere di 20-30 titoli su cui applicare la strategia? grazie

  11. gabri • 09/19/2017 #

    Simoneb, puoi creare uno screener che cerchi i titoli con un modified sharpe index inferiore a zero (o a uno) e poi manualmente scegli quelli che hanno un trend a salire.

  12. gabri • 09/19/2017 #

    Dimenticavo, i titoli che performano meglio sono quelli che crossano la linea dello zero (o dell’uno se vuoi essere sicuro) ma che arrivano da un price to book (P/B) basso. Io seleziono quasi tutti i miei titoli usando il P/B e il P/E e poi, tra quelli che ho filtrato in questo modo, applico le mie strategie.

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