This is a trading item or a component that was created using QuantShare by one of our members.
This item can be downloaded and used by QuantShare Trading Software.
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The trading system is composed of two trading rules. The first one is triggered when a stock share price closes below its 20-Bar Bollinger Lower Band. The second one is a market-timing rule that prevents the trading system from entering new orders when the market is declining. A market decline is defined here as the percentage of advancing to declining stocks being lower than 50%.
In order to enter only liquid stocks, shares traded on OTC exchanges and those that have an average volume of less than 100,000 are not used by this trading system.
The exit rules consist of three stops. A 10% Stop loss, a 5% profit bar and a 15-bar N-Bar stop. When one of these stops is triggered, the position is sold at tomorrow open price.
The strategy has an annual return of 20.26%, a Sharpe ratio of 1.32 and a maximum drawdown of -28.39%. The simulation has generated 1559 trades, of whom 61.9% were profitable. The average holding period is 8 bars and the strategy exposure is equal to 59.67%, which means that the strategy was invested only about half of the time.
Market Rule:
The timing rule was calculated using the composite function. It consists of comparing the 30-Bar SMA of the percentage of advancing stocks with the 50% threshold.
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
