Relative Returns Strategy

2 ม.ค. 2021

Looks like an ultimate strategy for buy and hold investors.

This is designed based on the indicator :

Converting that into strategy with little optimization yield this. One change here is, instead of using the return percentage directly, we are using moving averages on both of them.

Buy condition : Moving Average on stock return crosses over that of index return.
Sell condition : Moving Average on stock return crosses under that of index return.

11 เม.ย. 2021

เอกสารเผยแพร่

Remove calc_on_order_fills