Trading System with Sharpe-Based Ranking

No trading rules based on individual stocks. Just one ranking rule and one market rule.
This trading system generates +25 % annual return with low risk (maximum drawdown lower than -18%) just by using a single ranking rule and a single market rule. Backtest was done using current NASDAQ 100 list for a period that spans from 2002 to end of 2014 (13 years); 11 years out of 13, show a positive return.

This momentum trading strategy ranks securities based on their Sharpe ratio. It ranks all NASDAQ 100 stocks based on that Sharpe measure and buys the best ones (depending on the number of available positions in the portfolio).

Each position is closed if either it drops 10% (Stop Loss) or increases 10% (Profit Stop).

The market rule is defined as follows:
- Enter new positions only if the S&P 500 Index (^GSPC yahoo-compatible symbol) is above its 200-bar moving average.


Other statistics from the backtest:
- Number of trades: 525
- Percent positive trades: 62.67%
- Sharpe Ratio: 1.2
- Profit Factor: 1.91
- Ulcer Index: 6.86
- Average Monthly Return: 2.18%
- Average Bars Held: 23 (about a month)

Note that neither commissions nor slippage was included in the trading system.

Technical Analysis

• Relative Volatility Index
• Fixed Bucket Calculation
• Estimation of the Hurst Exponent - Trading Indicator
• Reverse Collar Option Strategy
• ISEE Index - ISE Sentiment Index
• Global Market Rotation Strategy V1.4
• Commitments of Traders
• Time-series Sum for the first Minutes/Hours of a Trading Day
• Congestion Index
• Average Output Per Year
• More trading objects...

Fundamental Analysis

• Earnings Surprise Strategy
• Bankruptcy Filings - Chapter 7
• Analyst downgrades & upgrades
• Identify Spilts Screener Script
• AAA Corporate Bond Yield Forecast
• Roubini Sentiment Indicator
• Index Investment Data for U.S. Futures Markets
• S&P Earnings
• Stocks with an EPS Several Times Higher than the Industry Average EPS
• Industry Equity
• More trading objects...