I want to explore an idea to rank setups by past performance of the strategy setup. For example, let's say I have a mean reversal system using RSI and some other entry conditions. It might be possible that some stocks have a tendency of showing higher win rate with this setup than others. I'm wondering whether it's possible to rank candidates based on the past performance of trade in a sliding window given the strategy setup? Performance could be win rate, APR, etc. Thanks.
Rename
This is done by the new finantic.DynamicPortfolio extension:
It calculates performance of Individual symbols in a sliding lookback window and disables/enables symbols based on past performance.
You need a strategy that has enough signals in the lookback window to get stable statistics.
It calculates performance of Individual symbols in a sliding lookback window and disables/enables symbols based on past performance.
You need a strategy that has enough signals in the lookback window to get stable statistics.
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