Simply Systematic

Ticker Start date End date Strategy
%
Hold the top tickers by return over the last trading days equal weight; 21 days ≈ 1 month, 126 ≈ 6 months

Rules are checked at each day's close and traded at that close. An open trade is sold when the exit is true or after max days held. The number in brackets is bars ago: 0 = today, 1 = yesterday.

open(n) high(n) low(n) close(n) volume(n) · ibs(n) = (close − low) / (high − low) · dayofweek 1 = Monday … 5 = Friday · dayofmonth 1–31 · monthday trading day of the month (1 = first) · daysleft trading days left in the month (0 = last day) · rsi(period, n) atr(period, n) adx(period, n) sma(period, n) = simple moving average of the closes · error_band(period, n) = the regression line through the last period closes, at today; period left out = 14, e.g. rsi(2) < 10

Operators: + - * / · < <= > >= = != · and or not · brackets ( )
Leveraged portfolios: exposure, financed at Fed Funds + 1.5%
Equity curve (start = 100)
Scale: US recessions (NBER) · Zoom: drag across the chart or Ctrl + wheel · Shift + drag to move
Linear regression
Run a backtest to see the regression.
Rolling 21-day correlation to an equal-weight mix of the other tickers
Run a backtest with at least 2 tickers to see the correlation.