Price Action Lab Blog Blog offers signals generated by three strategies and also has a strategy developed via machine learning tracked in the Quantopian platform. Below are performance details for 2016.
The strategies are listed in the table below. Click here for more details.
|DIAT4S3||DIA||Daily/1-min||Price action anomalies|
- Commission of $0.01/share is included in all cases. Equity is fully invested except in the case of ETF4R where there are maximum two open positions open with 50% equity allocation.
- The ADAPT strategy was long from 10/28/2011 to 01/14/2016 with a net return of 48.1%. There was a correction in January of 2016 that impacted performance for the rest of the year. Note that the win rate of ADAPT strategy has been 100%.
- ADAPT and DIAT3S3 are long/short strategies, ETF4R and PSI5 are long-only strategies
- The performance of DIAT4S3 strategy is tracked in Quantopian platform on 1-minute data. Alpha was 0.20 and beta was 0.16 for SPY benchmark return 12%
Signals for ETF4R and ADAPT are provided in Market Signals premium reports.
Signals for PSI5 strategy are provided in Mean-reversion signals along with those of three more strategies.
The DIAT4S3 strategy and the machine learning software used to create it are available for sale. Below is a screenshot of the Quantopian performance report for 2016:
For more details about this strategy click here.
Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.
Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.