The strategy is based on SMA and Bollinger Bands, along with pairs trading on the stocks of GS(Goldman Sachs) and JPMC (JP Morgan & Stanley).
- The profit generated in the span of 5 days during the Inter-IIT hackathon for Algotrading was worth $922.
- The stability of the time series for this model is 72%.
- Annual Returns - 8407.98 %
- Cumulative Returns - 9.22 %
- Annual Volatility - 73.46 %
- Sharpe Ratio - 6.38
- Maximum Drawdown - (-3.92 %)
- Omega Ratio - 3.31
- Sortino Ratio - 22.34
- Skew - 0.5
- Kurtosis - (-1.33)
- Stability of Timeseries - 71.99 %