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Out of the Noise Intraday Strategy with VWAP [YuL]
This is my (naive) implementation of "Beat the Market An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)" paper by Carlo Zarattini, Andrew Aziz, Andrea Barbon, so the credit goes to them.
It is supposed to run on SPY on 30-minute timeframe, there may be issues on other timeframes.
I've used settings that were used by the authors in the original paper to keep it close to the publication, but I understand that they are very aggressive and probably shouldn't be used like that.
Results are good, but not as good as they are stated in the paper (unsurprisingly?): returns are smaller and Sharpe is very low (which is actually weird given the returns and drawdown ratio), there are also margin calls if you enable margin check (and you should).
I have my own ideas of improvements which I will probably implement separately to keep this clean.
It is supposed to run on SPY on 30-minute timeframe, there may be issues on other timeframes.
I've used settings that were used by the authors in the original paper to keep it close to the publication, but I understand that they are very aggressive and probably shouldn't be used like that.
Results are good, but not as good as they are stated in the paper (unsurprisingly?): returns are smaller and Sharpe is very low (which is actually weird given the returns and drawdown ratio), there are also margin calls if you enable margin check (and you should).
I have my own ideas of improvements which I will probably implement separately to keep this clean.
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Yuri Lopukhov [YuL]
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這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。
開源腳本
本著TradingView的真正精神，此腳本的創建者將其開源，以便交易者可以查看和驗證其功能。向作者致敬！雖然您可以免費使用它，但請記住，重新發佈程式碼必須遵守我們的網站規則。
Yuri Lopukhov [YuL]
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。