hello, here is a system i developed, the basic strategy is: at end of each day, use updated historical data and some algorithms to rank stocks, the next day select the top ranked stocks, of these stocks those which also pass certain criteria hold for 3 days and sell at the close of the third day. Its possible on certain days no stocks are selected to trade. If there are selected stocks allocate 1/3 of funds into these stocks evenlyso here are the results trading from 2006-2011:total return on equity: 38.64xreturn(annualised) 107.69%sharpe ratio(annualised) 29.58total trades 674total profitable trades 441profitable trades% 65.43%(Chinese index over the 5 years grew a little under 100%)
Last edited by Richyiee
on January 29th, 2011, 11:00 pm, edited 1 time in total.