Price Action Lab Blog Strategies Performance in 2016

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.

Strategy Market(s) Timeframe System Type
ETF4R 4 ETFs Monthly Momentum/Rotation
ADAPT SPY Daily Adaptive trend-following
PSI5 SPY Daily Mean-reversion
DIAT4S3 DIA Daily/1-min Price action anomalies

2016 Performance

Strategy Return Max.  DD Sharpe Trades
ETF4R +8.7% -8% 0.78 9L 
ADAPT +1.5% -12.9% 0.76 2L
PSI5 +15.4% -4.95% 1.79 18L
DIAT4S3 +23.9% -3.4% 2.22 9L 5S

Notes

  • 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. 

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