Quantified Strategies – 3 Short Selling Strategies – Trading Strategy Bundles

Quantified Strategies – 3 Short Selling Strategies – Trading Strategy BundlesThis short-selling strategy bundle consists of three short strategies. The idea and logic work in a variety of assets, not only the three different below. Entries are on the close or the next open (and theIn all our bundles you will find both Amibroker code, Tradestation code, and the strategy written in plain English.None of the strategies are published on the website earlier and all strategies work on a variety of ETFs and futures contracts (and not necessarily on the backtested instruments below).same for exits).Short strategy 1The backtest below is done on S&P 500 (SPY or @ES):Strategy and performance metrics:#trades: 135Average gain per trade: 0.76%CAGR: 3.4%Time spent in the market: 7%Max drawdown: 11%Risk-adjusted CAGR: 45%Win rate: 68%Max consecutive losers: 4Max consecutive winners: 16Profit factor: 2.3Sharpe Ratio: 2.1Short strategy 2The backtest below is done on XLP (consumer staple ETF):Strategy and performance metrics:#trades: 196Average gain per trade: 0.,34%CAGR: 5.4%Time spent in the market: 5%Risk-adjusted CAGR: 54%Win rate: 74%Max consecutive losers: 3Max consecutive winners: 21Profit factor: 2.9Sharpe Ratio: 3.1Short strategy 3The backtest below is done on SMH (semiconductor ETF):Strategy and performance metrics:#trades: 175Average gain per trade: 1.33%CAGR: 10.6%Time spent in the market: 11%Max drawdown: 22%Risk-adjusted CAGR: 101%Win rate: 71%Max consecutive losers: 3Max consecutive winners: 12Profit factor: 2.6Sharpe Ratio: 2.7All 3 short strategies combinedIf we combine all 3 short strategies and take max one position at a time, we get the following equity curve:Strategy and performance metrics:#trades: 384 (since year 2000)Average gain per trade: 0.87%CAGR: 14.7%Time spent in the market: 18%Max drawdown: 22%Risk-adjusted CAGR: 80%Win rate: 72%Max consecutive losers: 4Max consecutive winners: 18Profit factor: 2.4Sharpe Ratio: 2.7There are no reviews yet.Add a Review Cancel replyYou must be logged in to post a review.