This is a GILD trading strategy with weekly intervention required. I found algorithms with better returns, but they were less consistent over time and had more parameter sensitivity. I chose this one because of many favorable characteristics:-
- Buy low, sell high type of algorithm, biased towards buying as befitting an upward trending stock like GILD.
- Buy and sell at the weekly open was easy and convenient to implement
- Buy and sell signals were well differentiated (only 4 dual signals) with good reinforcement on the buy side.
- Good lifetime characteristics with each 2.5 year period beating buy-hold.
- 87% successful trades and a Sharpe Ratio of 2.03 vs 1.05 for buy-hold.
- Gentle slopes on the parameter surface.
Note that charts were corrected 1-2-16 for an error in short-side return
Update 1-2-2016
Update 10/20/2016
GILD Weekly Trading Strategy Update Oct 20th 2016
For the period 3/9/15 to 5/18/15, this strategy has remained long, with 4 (redundant) buy signals. The return would have been 10.02% (64% annualized)
Andrew