[7840] PROBABILITY OF SUCCESS: 84.4 %
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+3.44%
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281d 19h 47m 33s
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Strategy Percentage Return
Started Jun 25, 2020
Closed Sep 17, 2020
Strategy denominated currency: JPY
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This is not investment advice. Please click for more information.▼
DESCRIPTION OF THE ALGORITHM
Select a set of asset among all the available assets that GRID Ideabook provides. The selection method is a clusterization algorithm.
This Technique allows to select the assets that are not recently linearly correlated. The purpose is to diversify the portfolio as much as possible.
Run on recent historical data of these selected assets a bunch of strategies involving financial indicators.
Use a genetic approach to discard the worst models based on different metrics.
Select the candidate assets for which there is a new signal.
STATISTICS ON THIS IDEA
Historical period analysis: 2.0 years
With the candidate model
Max draw-down: 5.9%
Total trades: 42
Total return: 62.0%
Average return / trade: 1.0%
Average time / trade: 16 days
Total success rate: 84%
The confidence on this idea is provided in attachment.