AAPL trading using SignalSolver Sentiment

Using multiple algorithms to drive trading strategy

Original Post July 23 2021

AAPL Trading System using SignalSolver Sentiment

AAPL trading system using SignalSolver Sentiment

Methodology

Shown above is the simulated result of trading AAPL using SignalSolver Sentiment. The sentiment is shown as a blue area chart in the background. The equity curve for the strategy is shown in yellow, buy-hold equity in white. Sentiment is calculated each day after the close of business by assessing what percentage of the top 50 SignalSolver backtest algorithms are bullish. The buy and sell thresholds are fixed at 50% (red line) with bullish being above the threshold. A trade is executed at the next open whenever a change in sentiment is indicated, so the trade price is always out-of-sample from the backtest period which is fixed at 250 trading days. The simulation then walks forward to the next day, repetitively. Algorithms are re-parametrized every 10 trading days and flushed and refreshed every 50 trading days. For more information on methodology, please see here.

Performance of simulated AAPL trading system using SignalSolver Sentiment

Performance of AAPL trading system using SignalSolver Sentiment

Performance

Trading on sentiment (L&S column above) performed around four times better in this simulation than buy-hold in terms of reward/risk, with final equity being around 3 times better for Long/Short trading of the signals and trading long only being about twice as good. In all cases, drawdown was lower for the sentiment trading than for buy-hold.

Below is shown the threshold surface for the equal buy/sell thresholds showing that annualized return (CAGR) is insensitive to threshold changes. The peak return is $26,863 at a threshold value of 83%.

Click here to see the SignalSolver settings for this strategy: AAPL Sentiment Settings

We now move into the paper-trading phase for this project. Updates will be shown below.

Updates

Updates to this strategy and current sentiment can be found here.

AAPL Update 29 Aug 21

AAPL Update 29 Aug 21

Posted in Uncategorized and tagged , , .

Leave a Reply

Your email address will not be published. Required fields are marked *

*