Algo: Betting on Winners

BE Trader

Newbie
5 0
There is a famous saying "Winners keep winning" which means that stocks that do well tend to keep doing well...
I have backtested the idea using the setup below for 2021.
  • Each day I'm looking for stocks which
    • belong to NASDAQ 100
    • have been up 3% or more on a prior day
    • are up in the morning (price above yesterday's close)
  • Enter (criteria to open a position)
    • Wait for 9:40 (market is open for 10min)
    • Stock price keeps going up
    • Buy only one stock for the day
    • If there are multiple candidates buy the one with highest relative volume comparing to the average market volume so far (10min average volume)
  • Initial capital $10,000
    • Gain is reinvested the next day
    • Loss reducing the buying power the next day
  • Exit (criteria to close a position)
    • End of the same day or by loss at 0.5% from fill price

Results: Cumulative GAIN 75.29% | Max Draw Down -5.36%

Screen Shot 2021-11-29 at 4.46.51 PM.png

Return vs buy and hold benchmark ^

Screen Shot 2021-11-29 at 4.47.21 PM.png

Top tickers traded ^

Disclaimer: all calculations made using BreakingEquity
 
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