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This is a simple trading algorithm I discovered that operates on the Vanguard sector ETFs. This backdating algorithm provides on average a return of ~0.0878% fo
by Kibae 5y ago
This is a simple trading algorithm I discovered that operates on the Vanguard sector ETFs. This backdating algorithm provides on average a return of ~0.0878% for each trading day, or ~24.85% annualized return assuming 253 trading days per year.
## The Algorithm
This algorithm is really simple.
1. On day `n`, determine which ETF gave the highest return
2. On day `n+1`, short sell the previous day's highest performing ETF at market open and close your short position at market close.
Because this algorithm operates on Vanguard's 11 Sector ETFs, it is resilient against the volatility of individual stocks.
### Caution
Hindsight is 20/20 and because this is a backdating algorithm, similar results are not guaranteed in the future. Use at your own risk.
- chasebank 5y agoI forked your project and added a financial metrics analysis package. .067 sharpe ratio, .11 sortino, largest drawdown was ~41% Not very good numbers. Fun stuff though! [0] https://github.com/maxto/ubique https://github.com/maxto/ubique
- jalopy 5y agoIf there a link to your fork?
- fullstackchris 5y agoall forks on GitHub are public, i took the liberty and did some snooping, the only fork which had some new commits was this one: https://github.com/jesshowe/SectorTradingAlgorithm https://github.com/jesshowe/SectorTradingAlgorithm
- akg_67 5y agoCheckout strategy in this book. It has a similar strategy but overlays with 200 day SMA and RSI. Larry Connors, Buy the Fear Sell the Greed