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

• Covered Put Screener
• Dynamic Bucket Range Mask
• Equity Trading Based on Position of Moving Average
• Average Correlation Index - S&P 500
• Enhanced Candlestick Chart with Volume Variation
• EOX Put-Call Ratio (PCR)
• Mahesh Moving Average
• Day of week and Week number function
• Average Maximum Drawdown
• Maximum Drawdown Composite Indicator
• More trading objects...

Fundamental Analysis

• Industry Equity
• NSE Board Meetings
• Trade-Ideas Intraday Screener
• Earnings: EPS Estimates
• Stocks with an EPS Several Times Higher than the Industry Average EPS
• Stock Grade - Fundamental Analysis
• Extensive Fundamental Data for U.S. Stocks
• Fails to deliver
• Commitments of Traders - Historical Data
• Announced Stock Earnings
• More trading objects...