GILD Trading Strategy (Weekly intervention)

This is a GILD trading strategy with weekly intervention required. I found algorithms with better returns, but they were less consistent over time and had more parameter sensitivity. I chose this one because of many favorable characteristics:-

  • Buy low, sell high type of algorithm, biased towards buying as befitting an upward trending stock like GILD.
  • Buy and sell at the weekly open was easy and convenient to implement
  • Buy and sell signals were well differentiated (only 4 dual signals) with good reinforcement on the buy side.
  • Good lifetime characteristics with each 2.5 year  period beating buy-hold.
  • 87% successful trades and a Sharpe Ratio of 2.03 vs 1.05 for buy-hold.
  • Gentle slopes on the parameter surface.

Note that charts were corrected 1-2-16 for an error in short-side return

 

Update 1-2-2016

GILD-W1 1-2-16 Update Table

Update 10/20/2016

GILD Weekly Trading Strategy Update Oct 20th 2016

GILD Weekly Trading Strategy Update Oct 20th 2016

Posted in Uncategorized, Weekly.

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