{"id":40784,"date":"2020-04-06T12:30:39","date_gmt":"2020-04-06T16:30:39","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=40784"},"modified":"2023-03-01T16:42:01","modified_gmt":"2023-03-01T21:42:01","slug":"backtesting-the-price-pullback-strategy","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/backtesting-the-price-pullback-strategy\/","title":{"rendered":"Backtesting the Price Pullback Strategy"},"content":{"rendered":"\n<p>Let\u2019s look at another strategy \u2013 the Price Pullback strategy!<\/p>\n\n\n\n<p>Trade setup:<\/p>\n\n\n\n<p>Fast Moving Signal \u2013 10 Day MA Slow Moving Signal &#8211; 200 Day MA<br>Go Long \u2013 When,<br>                Daily Close stays above 10 Day MA for more than 15 days<br>                Current Close is below 10 Day MA and above 200 Day MA<br>Exit Long \u2013 After \u2018n\u2019 days<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"814\" height=\"461\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-1.png\" alt=\"\" class=\"wp-image-40808 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-1.png 814w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-1-700x396.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-1-300x170.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-1-768x435.png 768w\" data-sizes=\"(max-width: 814px) 100vw, 814px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 814px; aspect-ratio: 814\/461;\" \/><\/figure>\n\n\n\n<p>Do you think this could be a profit-making idea?<\/p>\n\n\n\n<p>Turns out the Price Pullback strategy is a moderately profitable one. Take a look at the Equity Curve from its back-testing reports.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"814\" height=\"473\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-2.png\" alt=\"\" class=\"wp-image-40807 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-2.png 814w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-2-700x407.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-2-300x174.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-2-768x446.png 768w\" data-sizes=\"(max-width: 814px) 100vw, 814px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 814px; aspect-ratio: 814\/473;\" \/><\/figure>\n\n\n\n<p>Still, it\u2019s too early to give up on this strategy. Do you have any ideas that\u2019ll help us improve it? Leave your thoughts in the comments section.<\/p>\n\n\n\n<p>The Drawdown graph of the Price Pullback Strategy shows the other side of the coin.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"814\" height=\"469\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-3.png\" alt=\"\" class=\"wp-image-40806 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-3.png 814w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-3-700x403.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-3-300x173.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-3-768x442.png 768w\" data-sizes=\"(max-width: 814px) 100vw, 814px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 814px; aspect-ratio: 814\/469;\" \/><\/figure>\n\n\n\n<p>We think the Equity and Drawdown Curves would give us a better picture if the value for \u2018n\u2019 was optimized. Let\u2019s check out the back-testing reports after we do that, and see.<\/p>\n\n\n\n<p>We next optimize the value for \u2018n\u2019 (turns out it should be 45). Check out the changes in curves after we back tested and improved the strategy!<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"814\" height=\"490\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-a.png\" alt=\"\" class=\"wp-image-40817 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-a.png 814w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-a-700x421.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-a-300x181.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-a-768x462.png 768w\" data-sizes=\"(max-width: 814px) 100vw, 814px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 814px; aspect-ratio: 814\/490;\" \/><\/figure>\n\n\n\n<p>Any thoughts on further optimizing this?<\/p>\n\n\n\n<p>After adding a point-based target profit to our basic strategy, we\u2019ve been able to up the game! Here are the curves from the back-test reports of our much-improved strategy.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"814\" height=\"491\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-b.png\" alt=\"\" class=\"wp-image-40816 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-b.png 814w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-b-700x422.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-b-300x181.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-b-768x463.png 768w\" data-sizes=\"(max-width: 814px) 100vw, 814px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 814px; aspect-ratio: 814\/491;\" \/><\/figure>\n\n\n\n<p>Let\u2019s try adding a percentage-based target profit and see what the back-testing reports have to say about that!<\/p>\n\n\n\n<p>One look at the differences between these charts tells you that we\u2019ve improved the strategy by a lot. Unlike adding a stop loss, optimizing values and adding a percentage-based target profit mechanism to the original strategy has helped.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"814\" height=\"490\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-c.png\" alt=\"\" class=\"wp-image-40815 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-c.png 814w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-c-700x421.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-c-300x181.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2020\/04\/arque-c-768x462.png 768w\" data-sizes=\"(max-width: 814px) 100vw, 814px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 814px; aspect-ratio: 814\/490;\" \/><\/figure>\n\n\n\n<p>With back-testing, come a number of insights that can help us in improving a strategy.<\/p>\n\n\n\n<p>Do you also have trading ideas that you\u2019re not sure about? Let us know if you would like our help to back test and optimize it.<\/p>\n\n\n\n<p>Contact us via contact@arque.tech or visit our website: www.arque.tech for more information.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Arque Tech Algo Trader presents on Backtesting the Price Pullback Strategy, and provides an -in-depth analysis of Equity and Drawdown Curves<\/p>\n","protected":false},"author":349,"featured_media":40809,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[339,338,350,341,344],"tags":[851,4873,806,7081,7080,7082,6068],"contributors-categories":[13690],"class_list":{"0":"post-40784","1":"post","2":"type-post","3":"status-publish","4":"format-standard","5":"has-post-thumbnail","7":"category-data-science","8":"category-ibkr-quant-news","9":"category-quant-asia-pacific","10":"category-quant-development","11":"category-quant-regions","12":"tag-algo-trading","13":"tag-backtesting","14":"tag-data-science","15":"tag-drawdown-curves","16":"tag-equity-curves","17":"tag-price-pullback-strategy","18":"tag-trend-following-strategy","19":"contributors-categories-arque-tech-algo-trader"},"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is 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