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This is an implementation of a classic market timing technique using the crossover of two moving averages.
Universe: Manual input of tickers.
Alpha: Go Long when the Short Period Moving Average crosses above the Long Period Moving Average, and move into cash when it crosses below.
Portfolio: Equally Weighted portfolio (investing the same amounts in each security).
Execution: Immediate Execution with Market Orders.
Research: This project also includes a research file with explanation of the Alpha logic.
Ideas to try (user-defined inputs in the main.py script):
- Play with the
SetStartDateandSetEndDatedates to change the period of backtest. Does it time the 2008 crisis well? - Increase the trading frequency by changing the data resolution from
Resolution.DailytoResolution.HourorResolution.Minute
- Add/change the tickers. For example, to select the FANG stocks simply change this line code
tickers = ['FB', 'AMZN', 'NFLX', 'GOOG'] - Play with the length of the two moving averages. Maybe a faster reaction to market timing could be
shortPeriodSMA = 10andlongPeriodSMA = 200Does it improve the performance? -
Activate the rebalancing mechanism to ensure the portfolio goes back to equal weighting every so often. The
rebalancingParamis set to False by default, but it can be set to a discretionary number of days to rebalance the portfolio. For instance, if you want to rebalance every 30 days simply dorebalancingParam = 30
Do you have a strategy of your own that you would like to backtest and automate? Learn about our consulting services and get in touch at admin@innoquantivity.com
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