Long-Short: 2.68% return, Sharpe 0.11, drawdown 53%. Long-Only: 16.95% return, Sharpe 1.02, drawdown 21%. MA200 Filtered: 14.53% return, Sharpe 0.89, drawdown 25%. One simple MA200 filter changed everything. Not just returns the entire risk profile. This is what strategy development in Python actually looks like. Build it. Compare it. Look at Sharpe. Look at drawdown. Never just look at the return number alone. Watch the full video here: https://youtu.be/8A_JiLqA5DM Want to build strategies like this yourself? Explore EPAT: https://www.quantinsti.com/epat (Donchian Channel, strategy comparison, long short strategy, long only strategy, MA200 filter, moving average filter, Sharpe ratio, max drawdown, backtesting, Python trading, systematic trading, algorithmic trading, quant trading, QuantInsti, EPAT) #DonchianChannel #Backtesting #PythonTrading #AlgorithmicTrading #QuantTrading #SharpeRatio #TradingStrategy #MaxDrawdown #MovingAverage #SystematicTrading #TradingShorts #QuantInsti
Full Transcript
So, what I'm going to show over here is that we're going to keep these parameters and then we're going to keep this as our last 10 years of data. And now we have all these three different back tests, which are over here. And from here, we get all the various metrics. Let's run this and finally our comparison table is ready. Which gives me a clear comparison of the three different variants for Apple stock.
Original Description
Long-Short: 2.68% return, Sharpe 0.11, drawdown 53%.
Long-Only: 16.95% return, Sharpe 1.02, drawdown 21%.
MA200 Filtered: 14.53% return, Sharpe 0.89, drawdown 25%.
One simple MA200 filter changed everything.
Not just returns the entire risk profile.
This is what strategy development in Python actually looks like.
Build it. Compare it. Look at Sharpe. Look at drawdown.
Never just look at the return number alone.
Watch the full video here:
https://youtu.be/8A_JiLqA5DM
Want to build strategies like this yourself?
Explore EPAT:
https://www.quantinsti.com/epat
(Donchian Channel, strategy comparison, long short strategy, long only strategy, MA200 filter, moving average filter, Sharpe ratio, max drawdown, backtesting, Python trading, systematic trading, algorithmic trading, quant trading, QuantInsti, EPAT)
#DonchianChannel #Backtesting #PythonTrading #AlgorithmicTrading #QuantTrading #SharpeRatio #TradingStrategy #MaxDrawdown #MovingAverage #SystematicTrading #TradingShorts #QuantInsti
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