Hello, I have the following WL6.9 strategy:
Buy at Market
Moving Average is trending down (SMA/Close/26/1)
Price is below Moving Average (Close/SMA/Close/10)
Sell at Market
Active Position is older than a number of bars (3)
I backtested it for the period 2015-2019 (5 years) on the S&P500 dataset. Position sizing = 33.33%, margin factor = 1.1, portfolio mode with starting capital $ 100.000.
Since it has no priority, I ran it more than 50 times and on average it results in an APR of 20%.
I transferred the strategy to WL7:
Buy at market open
Indicator Turns: SMA (Close,26) / Down
Indicator compare to Indicator: Close less than SMA (Close, 10) / 0 bars ago
Sell after N Bars
How many bars = 3
However, the WL7 strategy acquires only 7% on average.
Does anybody see a mistake?
Best regards,
Werner
Buy at Market
Moving Average is trending down (SMA/Close/26/1)
Price is below Moving Average (Close/SMA/Close/10)
Sell at Market
Active Position is older than a number of bars (3)
I backtested it for the period 2015-2019 (5 years) on the S&P500 dataset. Position sizing = 33.33%, margin factor = 1.1, portfolio mode with starting capital $ 100.000.
Since it has no priority, I ran it more than 50 times and on average it results in an APR of 20%.
I transferred the strategy to WL7:
Buy at market open
Indicator Turns: SMA (Close,26) / Down
Indicator compare to Indicator: Close less than SMA (Close, 10) / 0 bars ago
Sell after N Bars
How many bars = 3
However, the WL7 strategy acquires only 7% on average.
Does anybody see a mistake?
Best regards,
Werner
Rename
Hi Werner,
"Moving Average is trending down" is simply a way to say that the MA has declined i.e. its value is lower than it was the day (or bar) before.
So for trending down, choose "Indicator compare to Indicator", choose the 26-period SMA as both the indicators, "Less than..." and finally, "How many bars ago" >= 1 because it's the Lookback period.
I've updated the cheat sheet:
https://wl6.wealth-lab.com/Forum/Posts/Rules-WL6-gt-Building-Blocks-WL7-40617
"Moving Average is trending down" is simply a way to say that the MA has declined i.e. its value is lower than it was the day (or bar) before.
So for trending down, choose "Indicator compare to Indicator", choose the 26-period SMA as both the indicators, "Less than..." and finally, "How many bars ago" >= 1 because it's the Lookback period.
I've updated the cheat sheet:
https://wl6.wealth-lab.com/Forum/Posts/Rules-WL6-gt-Building-Blocks-WL7-40617
Thanks!
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