PPO-SMI Fusion Strategy V.2
Developing a High-Performing TPR Stock Trading Strategy with the Stochastic Momentum Index and Percentage Price Oscillator
Key Performance Metrics Past 5 Years (2020-01-01 until 2025-01-01) TPR Stock
Trading Strategy Return: 249.99%
Trading Strategy Max Drawdown: 51.43%
Buy and Hold Return: 174.09%
Buy and Hold Max Drawdown: 63.59%
Total Trade: 11 close trades and 1 open trade
Winrate: 27.27%
Profit Factor: 1.99
Sharp Ratio: 1.13
Warning: The returns and results presented are solely based on backtesting using historical data. Although the system has undergone tests to enhance its robustness and resilience to market conditions, there is no guarantee that it will achieve similar profitability in the future. Markets carry inherent risks and volatility. Therefore, you should only invest money that you can afford to lose without causing financial distress.
From the previous trading system:
That strategy uses PPO (Percentage Price Oscillator) and SMI (Stochastic Momentum Index) to build a trading system.
In this version, we still use the same 2 indicators, but we change the trading condition. Instead of using the traditional signal line crossing the PPO line, we now define the trading condition such that both the signal line and the PPO line must be either greater than 0 or less than 0—for both entry and exit signals. The train:test ratio remains at 4:1. Let’s see how the performance turns out under this new condition.