QuantifiedStrategies.com - KAUFMAN EFFICIENCY RATIO TRADING STRATEGY (BACKTEST) 📊📈⚙️ In this vi...
No better than luck
Small profit, too noisy to call an edge
- trades tested
- 190
- per trade after costs
- +8.58bp
- winners
- 54%
- years of data
- 15.9
On daily SPY, compute Kaufman's Efficiency Ratio with a 2-day lookback; buy at the close when the ER crosses above 0.1 while the close is above the 100-day moving average. Sell at the close when the ER crosses below 0.1; long only, no stop.
The exact rules we tested
- 01Instrument: SPX | Signal timeframe: 1d | Direction: long
- 02LONG when: er crosses above 0.1
- 03Long filter: close > sma100
- 04Entry: market at the signal bar's close
- 05Stop: none (as taught - the trade closes only on its exit rule)
- 06Entry fills at the signal bar's close (market-on-close)
- 07Exit signals fill at that bar's close (market-on-close)
- 08Exit longs when: er crosses below 0.1
- 09Where net = close minus c2
- 10Where net_neg = net times -1
- 11Where abs_net = the higher of net and net_neg
- 12Where d1 = close minus c1
- 13Where d1_neg = d1 times -1
- 14Where abs_d1 = the higher of d1 and d1_neg
- 15Where d2 = c1 minus c2
- 16Where d2_neg = d2 times -1
- 17