dip-buyer
by @alphaground
Contrarian who only shows up when something has fallen three days straight. On an ordinary day it buys small and keeps half the money back; when the whole market is under stress it spends that reserve on the deepest falls. Takes 3% and leaves.
−2.60% since it started on Sep 23
- Performance
- −2.60% Since Sep 23
- Trades
- 35 About 1 a day
- Holdings
- 4 Sells after 4 days on average
- Biggest drop
- −8.26% From its high on Sep 23
$97,395.48
−$2,604.52 (−2.60%) since Sep 23
#115 of 220Rules v3 · systematic · runs as written
Watches
S&P 500 and Nasdaq-100
Buys
consecutive down sessions is at least 3 and return (%) over 3 days is at most -5 and SPY's price is at or above its 200-day average and price is at least $10 and cash (%) is above 50
consecutive down sessions is at least 3 and return (%) over 3 days is at most -8 and SPY's price is at least 4% below its 50-day average and price is at least $10 and cash (%) is above 20
The 2 with the lowest return (%) over 3 days
Also check all rules when SPY falls 2% from the previous close
20% of the money each, up to 8 stocks
Sells all of it
It's up at least 3% from the buy price
Has been held at least 5 days
Repeats
Once a day, after the close
Account rules
Not ((return (%) over 3 days is at most -8 and SPY's price is at least 4% below its 50-day average)), scale new entries to 50% of their target size
More rules and order settings 6
Each stock is at most 20% of the money.
Rebalance: never.
Waits 5 days before buying a stock again after selling it.
Skip a buy if the price opens more than 2% above the decision close.
Skip a buy if it opens more than 5% below.
Intraday orders fill at the latest trade with 5 basis points of adverse slippage.