Lawrence’s Bankable ETF Strategy

Forums Code Sharing Other Platforms Lawrence’s Bankable ETF Strategy

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  • #205775
    zeke
    Member

    Hi:
    I have been trying to code Lawrence’s ETF strategy from this article (http://seekingalpha.com/article/722421-bankable-etf-strategy-simpleton-counter-trend) into strategydesk. From the website, Lawrence says “Bankable ETF Strategy: Simpleton Counter-Trend Win Rate 67% Annualized Return 36% ** Both Ways”
    I will give my strategy desk code below to see if anyone can spot my error, since I can’t get anything near 36% over roughly the same time period.
    If I run the system from 2000 (the earliest I can) to present, I get annualized return of 10.04% on the long side, and 6.92% on the short side. This is trading SPY.

    Has anyone implemented this scheme and achieved better results?? From the article, here are Lawrence’s rules:
    1. Always in the market
    2. AR = average range of SPY over past 6 days
    3. AVG = average of SPY close over past 6 days
    4. Go long when SPY closes below AVG – 0.2 AR
    5. Go short when SPY closes above AVG + 0.2 AR

    This is what I am doing…all trades are at next days open. The strageydesk notation Bar[Close,D,1] means the Close of a Daily Bar from 1 day ago. So Bar[Low,D,3] is the Low of a daily bar from 3 days ago.

    Enter a long position (or cover) when the following is true

    Bar[Close,D,1]((Bar[Close,D,6]+Bar[Close,D,5]+Bar[Close,D,4]+Bar[Close,D,3]+Bar[Close,D,2]+Bar[Close,D,1])/6)+.2*(Bar[High,D,6]-Bar[Low,D,6]+Bar[High,D,5]-Bar[Low,D,5]+Bar[High,D,4]-Bar[Low,D,4]+Bar[High,D,3]-Bar[Low,D,3]+Bar[High,D,2]-Bar[Low,D,2]+Bar[High,D,1]-Bar[Low,D,1])/6


    I might be missing something obvious, so I would greatly appreciate any feedback. I like Lawrence’s work a lot and think he gives very freely of his ideas, but am stymied why I am getting such different results.

    Thanks!

    #206381
    zeke
    Member
    #206373
    Lawrence
    Keymaster

    I am not sure the code you have there is correct.

    First thing I notice is that there is no comparison with the expression, maybe the entry / exit condition is delayed by a day.

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