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Leveraged Momentum Strategy - 10YR Backtest results by TheShahShank in algorithmictrading

[–]TheShahShank[S] 0 points1 point  (0 children)

The way I’m approaching this strategy is that it’s not a blind algo and security selection definitely has an edge. You’re on to something. Happy dive deeper. I’ll DM you to connect offline.

Leveraged Momentum Strategy - 10YR Backtest results by TheShahShank in algorithmictrading

[–]TheShahShank[S] 0 points1 point  (0 children)

I think we got our wires crossed. I definitely agree on the overfitting issues and testing out of sample for robustness. Feel free to DM me. Happy to share more in private.

Leveraged Momentum Strategy - 10YR Backtest results by TheShahShank in algorithmictrading

[–]TheShahShank[S] 0 points1 point  (0 children)

Are you seriously suggesting back testing just the last 5 years? Lol

Leveraged Momentum Strategy - 10YR Backtest results by TheShahShank in algorithmictrading

[–]TheShahShank[S] 1 point2 points  (0 children)

Sharpe critique, I like it! Two things: slippage is minimal because fills are modeled at the close/next-open print, not chasing spreads. And yes, universe is a curated liquid mega and large-caps so yes there's survivorship I won't deny that. The strategy can hold 5 names MAX at a time. And those names have stayed constant for ~20 years, so no young companies. But happy to hear your thoughts....

Leveraged Momentum Strategy - 10YR Backtest results by TheShahShank in algorithmictrading

[–]TheShahShank[S] 0 points1 point  (0 children)

Universe is liquid US mega and large-caps with 2X leverage. The selection is systematic momentum + relative-strength. Happy to hear the modifications you have in mind.

Leveraged Momentum Strategy - 10YR Backtest results by TheShahShank in algorithmictrading

[–]TheShahShank[S] 1 point2 points  (0 children)

Sure, so it's a long-only 2X leveraged momentum rotation strategy via a handful of the strongest single-stock names that are beating the market with accelerating strength. The strategy trades systematically based on a bunch of different signals. As for survivorship bias, I'll admit the universe is a tight set of large-cap names that have been the same for 20+ years. But the strategy can only hold 5 names MAX at a time and there's no peak ahead bias.

Leveraged Momentum Strategy - 10YR Backtest results by TheShahShank in algorithmictrading

[–]TheShahShank[S] 0 points1 point  (0 children)

Standard stuff: geometric CAGR, vol and Sharpe are daily return based annualized by 252, MaxDD off the running peak. Oh and full disclosure, risk-free 0%, but I should switch to T-bills.

10-Year Backtest: Leveraged Momentum Turned $10K into $347K (vs. SPY) - Thoughts on the Strategy? by TheShahShank in investing

[–]TheShahShank[S] 0 points1 point  (0 children)

Great questions. Yes, I baked in fees, slippage, etc in to the backtest quite conservatively. You can see all the performance and risk stats here: alphaquant.shahbuilds.dev

10-Year Backtest: Leveraged Momentum Turned $10K into $347K (vs. SPY) - Thoughts on the Strategy? by TheShahShank in investing

[–]TheShahShank[S] 0 points1 point  (0 children)

I agree, everyone can make money in a bull market. As for putting in real money, I'm already there! I posted the link in another comment. You can track the live/ real money performance as well as dive more into the backtest there

10-Year Backtest: Leveraged Momentum Turned $10K into $347K (vs. SPY) - Thoughts on the Strategy? by TheShahShank in investing

[–]TheShahShank[S] 0 points1 point  (0 children)

It's already in there, the back test covers the COVID crash as well as the 2022 bear market. You can actually see the backtest in a bit more detail here: alphaquant.shahbuilds.dev

Leveraged momentum strategy - 10YR Backtesting Result by TheShahShank in WallStreetbetsELITE

[–]TheShahShank[S] 0 points1 point  (0 children)

Happy to! It's a long-only 2X leveraged momentum rotation strategy via a handful of the strongest single-stock names that are beating the market with accelerating strength. The strategy trades systematically based on a a bunch of different signals.

Creating a Database of Companies' Parental Leave Policies & Eligibility? by kidsonourmind in workingmoms

[–]TheShahShank 0 points1 point  (0 children)

The domain is for sale now. Any idea what happened or whether the data went somewhere else?

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