Backtesting: OneNight w Moving Percentile and Ranking
Keep it simple: Buy low, Sell next morning. "Low" is determined by a moving percentile of True Range. Uses CMF for setup and ranking. Properties of this strategy: - Low NSF ratio - Low number of limit orders The following Extensions were used during development of this trading startegy: - finantic.Indicators: MovingPercentile, Ranking, fill estimation - finantic.Optimizers: SMAC Optimizer and Grid Optimizer - finantic.ScoreCards: The IS/OS ScoreCard and Favourites Scorecard - finantic.IndicatorSelection: Find best indicator to use for setup and ranking
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Data Range & Scale
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|Metric||Strategy Results||Benchmark Results (SPY)|
|APR (Annualized % Return)||0.00%||0.00%|
|Number of Positions||0.00%||0.00%|
|Average Profit %||0.00%||0.00%|
|Average Bars Held||0.00%||0.00%|
|NSF (Non-Sufficient Funds) Position Count||0.00%||0.00%|
|Maximum Drawdown %||0.00%||0.00%|
The most recent 100 Positions out of 1,234 total are presented here.
|Symbol||Position||Quantity||Entry Date||Entry Price||Exit Date||Exit Price||Bars Held||Profit||Profit %|
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