PANW Trading Strategy (Daily Intervention)

This Palo Alto Networks PANW trading strategy would have given a 119% annualized return. Here, I chose to show only the long side of the algorithm because its more impressive than the short side (which only gave 27% annualized return). To appreciate the algorithm more, notice that the efficiency of the algorithm was close to 200%. Efficiency (as we define it) is the annualized return divided by the percentage of time you were in the market. Its the return you would have received if you had realized the same return all the time as you had got while you were in the market. The theory is that since you are not in the market all the time, you could have invested the money elsewhere.

Efficiency only applies to long or short style algorithms, since if you were running both long and short (L&S) you are in the market 100% and efficiency equals annualized return.

Updated 1-2-2016 to correct an error in the short-hold returns.

Update Aug 28th 2015:

Algorithm has had better return, efficiency and drawdown than Buy/Hold, but not consistently. Optimum buy point dropped to 1.25% (which would have given a return of $4,316)

Algorithm continues to have better return, efficiency and drawdown than Buy/Hold. Buy-hold lost 12% annualized, this strategy made 28.7% annualized. Efficiency (55%) is what the strategy would have made annualized, had the money been invested at the same rate while the strategy was out of the market.

PANW Trading Strategy Performance since publication as of Oct 10th 2016

Here is a view of the performance since original publication in March 2015:

PANW Trading Strategy, performance since initial publication, 60% gain vs 12.3% for buy-hold.