SP500 – riding the trend – improved version

guleny · Mon, 30 Nov 2020 10:21:04 +0000

Hello This is the original of jr1976 ( https://www.prorealcode.com/user/jr1976/). the link for the original code is https://www.prorealcode.com/prorealtime-trading-strategies/sp500-riding-the-trend/ I have made some optimizations to make it better. But there are 5 transactions which increase drawdown. Can you help to optimize them Thanks

This topic has 2 replies, 3 voices, and was last updated 5 years ago by nonetheless.

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11/30/2020 at 11:21 AM #152021

guleny

Hello

This is the original of jr1976 ( https://www.prorealcode.com/user/jr1976/). the link for the original code is https://www.prorealcode.com/prorealtime-trading-strategies/sp500-riding-the-trend/
I have made some optimizations to make it better. But there are 5 transactions which increase drawdown. Can you help to optimize them
Thanks

guleny
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12/02/2020 at 8:44 AM #152377

VinzentVega

The itf doesn´t work. “Variable h1 does not exist”

VinzentVega
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12/02/2020 at 9:44 AM #152386

nonetheless

You can // the h1 line, it’s not needed. The bigger problem is the massive DD due to huge stoploss. 10 years ago the SP was around 1100, so SL of 241 equates to ~22%. Even today it’s over 6.5%.

Sorry Guleny, but his makes the algo fairly redundant. A 10 year buy and hold would have been more profitable (10 x ~2500 pts).

nonetheless
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