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For initial testing, we look to identify raw alpha. To do so, we create a strategy using the PV Momentum Indicator with simple crossover entry and exit criteria. The strategy allocates 100% of equity for each position.
The first test was conducted on the TSLA 30m timeframe ranging from May 2020 to May 2023. Even with the basic ruleset, we can see a very stable equity curve and a surprisingly high Sharpe and Sortino ratio. Further optimization is likely to boost these performance metrics to compete with advanced trading systems.
TSLA 30m (05/2020 - 05/2023)
Testing on a less volatile asset also shows significant outperformance during increased volatility. This is not surprising given that a key component of this indicator is volume analysis.
SPY 30m (05/2020 - 05/2023)