Backtesting of our Volatility Trading Strategy on S1 2019

Published by newspill Team | 2019-06-06

       We’ve been building for the past few months an algorithm that can accurately predict the intensity of the price variation of a stock.
Based on the analysis of behavioral, technical and contextual data, we can predict in the morning if the price variation for a given stock will be superior or inferior to 2% by the end of the day (in absolute variation) – we do this with a precision rate of 80%.

We are not just doing a smart description of the market mood, we are going against what the market thinks.
We can predict a high volatility when the market expects calm or predict stability when the market fears an outburst.

The high level of precision of our algorithm led us to build a trading strategy based on these volatility signals. You will find below the details of the strategy and the results of the backtesting on S1 2019.
Since the numbers are really encouraging both in backtesting and paper trading, we’ll soon launch a live trading algorithm.

More info about the backtesting :

[Sysmo] Backtesting of Volatility Trading Strategy on S1 2019 de Terence Mahier