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Trading System with Sharpe-Based Ranking

by QuantShare, 1841 days ago
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No trading rules based on individual stocks. Just one ranking rule and one market rule.
This trading system generates +25 % annual return with low risk (maximum drawdown lower than -18%) just by using a single ranking rule and a single market rule. Backtest was done using current NASDAQ 100 list for a period that spans from 2002 to end of 2014 (13 years); 11 years out of 13, show a positive return.

This momentum trading strategy ranks securities based on their Sharpe ratio. It ranks all NASDAQ 100 stocks based on that Sharpe measure and buys the best ones (depending on the number of available positions in the portfolio).

Each position is closed if either it drops 10% (Stop Loss) or increases 10% (Profit Stop).

The market rule is defined as follows:
- Enter new positions only if the S&P 500 Index (^GSPC yahoo-compatible symbol) is above its 200-bar moving average.


Other statistics from the backtest:
- Number of trades: 525
- Percent positive trades: 62.67%
- Sharpe Ratio: 1.2
- Profit Factor: 1.91
- Ulcer Index: 6.86
- Average Monthly Return: 2.18%
- Average Bars Held: 23 (about a month)

Note that neither commissions nor slippage was included in the trading system.


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Type: Trading System

Object ID: 1539


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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.