Overfitting And Slippage Resistant Algo, With 2 Parameters, Walk-Forward, And Simple Predictive Metric.
Summary
- AlgoTrading with NASDAQ 100 stocks.
- 1 Stock per day.
- Almost 100x returns per year, Sharpe about 3.
I use this algo for daily trading, so it works. It based on the same approach of Oline Portfolio Selection (OLPS) but I use my own metric to sort the stocks in the portfolio. It actually only picks the stock with the strongest weight, once a day. The universe of stocks is NASDAQ 100 stocks. No leverage (even if leverage would work great with this algo). My experience is that OLPS is an underestimated trading strategy that can give powerful results when simplified.
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