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Seasonality Trading System

Francesco · 2020-03-25T21:57:30+00:00

I built up a simple idea of trading system based on stock’s seasonality, ; of course as you will see these kind of systems are long term oriented. The businesss idea is to develope optimized and specific seasonality systems for all the major assets to run at the same time; in order to have a nice monthly revenue in addiction to more fast paced algos. Here’s the first try with the GOLD asset, avoiding not clearly seasonality trend oriented months. (I’ve implemented a very basic trailing stop but it could be easily upgraded to have more gain%) Position size=7 (around 600€ at the moment i’m writing) P.S.: i also tried a breakeven version, which gives much more gain% and a less smooth curve that can easily be good, but having in mind a long term stable business idea with more seasonality systems i think that consistency and smoothness in the equity curve are better; but it’s personal choice. defparam CumulateOrders= false // Position Size n= 7 // January if month=1 and day=1 then buy n contract at market endif // Time Exit if month=1 and day=31 then sell at market endif // February if month=2 and day=1 then buy n contract at market endif // Time Exit if month=2 and day=28 then sell at market endif // March if month=3 and day=1 then sellshort n contract at market endif // Time Exit if month=3 and day=31 then exitshort at market endif // April if month=4 and day=1 then buy n contract at market endif // Time Exit if month=5 and day=31 then exitshort at market endif // June if month=6 and day=1 then sellshort n contract at market endif if month=7 and day=31 then exitshort at market endif // August if month=8 and day=1 then buy n contract at market endif // Time Exit if month=8 and day=31 then sell at market endif // September if month=9 and day=1 then buy n contract at market endif // Time Exit if month=10 and day=31 then sell at market endif // November if month=11 and day=1 then buy n contract at market endif // Time Exit if month=11 and day=30 then sell at market endif // December if month=12 and day=1 then sellshort n contract at market endif // Time Exit if month=12 and day=31 then exitshort at market endif // Stop And Target set stop loss 100 set stop trailing 70

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Seasonality Trading System

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03/26/2020 at 7:18 PM #123513 quote

Francesco
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As I specified in the first post, I would not consider seasonal algorithms as the main profit type, but a simple support.
I understand that having strategies that operate every day is much more rewarding, but to have a complete algo portfolio, in my opinion, we also need something based on the long term to stabilize profits (also something like pathfinders would be very good, never tested but i saw nice results)
To overcome instability, the idea could be to develop seasonal algorithms on several highly uncorrelated assets (probably commodities that are slightly better as you said) to minimize the risk.
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Seasonality Trading System

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This topic contains 15 replies,
has 4 voices, and was last updated by Francesco
6 years, 6 months ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	03/25/2020
Status:	Active
Attachments:	4 files

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Seasonality Trading System

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Seasonality Trading System ProOrder: Automated Strategies & Backtesting

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Seasonality Trading System

ProOrder: Automated Strategies & Backtesting