- Stock trading using timing strategy: mainly use short & long moving average of stock price and also analyze the performance of this strategy.
- Compute short & long moving average of stock price.
- Use the infomation of moving average to trade the index.
- Record and compute data of buy & sell, position, return, etc. with daily frequency for later analysis.
- Do financial evaluation: Sharpe ratio, Annual simple return, Win rate, Maximum drawdown, Maximum loss rate, Transaction frequency...
- Visualization and output of data.
- Long (Buy)
- No position currently;
- Short moving average line crosses long moving average line upward.
- Short (Sell)
- Hold full position currently;
- Return is below stop loss ratio.
- Short (Sell)
- Full position currently;
- Short moving average line crosses long ma line downward.
- Position remains unchanged
- Default.
- Sharpe ratio: 1.47
- Annual simple return: 4.52%
- Win rate:50.92%
- Maximum drawdown:25.62%
- Maximum loss rate: 6.94%
- Trade frequency: 10%
- Other diagrams and Excel file are in this folder for your reference.
- Trading target: CSI300 Index.
- Time length: Year 2010 - Year 2019.
- Data Source: Wind