Monday, April 16, 2012

prodigio wiz file included: altucher's strategy

i hope this doesn't seem too obsessive but I have implemented altucher's simple strategy in prodigio. this strategy can be simply stated:
buy on 4 consecutive lower closes, sell on two consecutive higher closes
here's what this strategy looks like in prodigio:

sdi_alt4down entry strategy


sdi_alt2up exit strategy
the multitude of boxes on the entry strategy are due to a mismatch in the capabilities of prodigio to implement this simple idea in a concise manner. in prodigio you basically have to tell it to compare today's close to yesterday's close and yesterday's close to the day before and so on til there are four comparison sequences. there does not seem to be a way to implement a counter for consecutive lower closes as one can do in thinkscript. but no matter, in thinkscript one cannot backtest a strategy like this against the entire s&p 100 for an entire year:


sdi_altucher equity curve when traded against s&p 100 for one year
these trades are each about 10,000 dollars of equity. the 150/81 win/loss ratio is excellent in my experience.

here's the prodigio statistics:



sdi_altucher statistics for trading s&p100 for 1 year


in prodigio i am only able to run the backtest 1 year back. in his presentation at the 2012 trader's expo in new york, altucher presented statistics on this strategy generated in fidelity's wealthlab-pro showing profits in every year going back to the late 1990's.

lastly i present the wiz file. this is an encrypted plain-text file that will implement the sdi_altucher strategy when imported into your prodigio platform. copy the text below and paste into a notepad file. then rename the extension of the file from .txt to .wiz and import into the wizard lab's strategy tab.

"sdi_altucher",VALID,STRATEGY,04/16/2012 18:32
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3 comments:

  1. Hey Al, I just wanted to say I really enjoy your site. I write tos code also and trade options, I like your butterfly strategy! My dogs are a Black German Shepard and a 220 lb. Black Great Dane both from Awsome lines and are gental giants. If you have any particular Volatility Studies that you use please share. Either way please continue!

    Cheers,

    Drew

    ReplyDelete
  2. hi drew, thanks for the feedback. when tos first came out with implied and historical volatility i played with some ideas. i will have to revisit these. best to you and your gentle giants.
    -allen

    ReplyDelete
  3. I would like to thank you for taking your time out and showing some nice scripts. You've done a wonderful job at understanding the TS scripts and laying it out. I am very much interested in your other scripts after seeing some of the ones you have posted here and may end up throwing the bone soon. Thank you so much.

    ReplyDelete