These models are programmed in the C# language and utilize the Microsoft .NET framework. A Quantacula model is a C# class derived from the UserModelBase base class.
The Initialize method is called first. Override this method to instantiate indicators or other objects you will need during your model's processing.
The Execute method is called once for each bar of data in the history. Override this method to implement your model's trading logic. You are passed the current index into the historical data in the idx parameter.
This is Larry Connors RSI25 system, with the SMA200 filter removed. The RSI25 system rules are taken from his post here:
https://www.linkedin.com/pulse/connors-research-traders-journal-volume-1-does-mean-still-connors/
- Buy one unit when closing price is greater than 200 day SMA (this condition was removed) and RSI4 is less than 25
- Buy a second unit when RSI4 is less than 20
- Sell all units when RSI4 is above 55
You will need to Sign In in order to save your Models.
When saving a Model, provide a short and descriptive name that summarizes its spirit.
Also, provide a brief description that explains the logic of your Model, and any other interesting background material you'd like to include.
When you're ready, please Publish your Model so other members of the Quantacula community can review and learn from it.
Remember, in the free membership, you can save only 3 non-published Models. Publish a Model to open up one of your free Model slots. Premium members can save an unlimited number of private Models.
The settings here control what data is used when you backtest your Model, as well as the position sizing. Settings information is saved when you save your Model.
| Summary | Model | Benchmark |
| Profit | ||
| Profit % | ||
| APR | ||
| Sharpe Ratio | ||
| Sortino Ratio | ||
| Exposure | ||
| Alpha α | N/A | |
| Beta β | N/A | |
| Profit Factor | ||
| Recovery Factor | ||
| Drawdown | Model | Benchmark |
| Maximum Drawdown | ||
| Maximum Drawdown % | ||
| Maximum Drawdown Date | ||
| Interest and Commission | Model | Benchmark |
| Commission Paid | ||
| Cash Interest Earned | ||
| Margin Interest Paid |
| Positions | Model | Benchmark |
| Number of Positions | ||
| Number of NSF Positions (not taken) | ||
| Win Rate | ||
| Average Profit | ||
| Average Profit % | ||
| Average Hold Time (Bars) | ||
| Winning Positions | Model | Benchmark |
| Number of Winners | ||
| Winning % | ||
| Winners Avg Profit | ||
| Winners Avg Profit % | ||
| Winners Avg Hold Time (Bars) | ||
| Losing Positions | Model | Benchmark |
| Number of Losers | ||
| Losing % | ||
| Losers Avg Loss | ||
| Losers Avg Loss % | ||
| Losers Avg Hold Time (Bars) |
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
| Position | Symbol | Quantity | Entry Date | Entry Price | Last Price | Profit | Profit % |
| Position | Symbol | Quantity | Entry Date | Entry Price | Exit Date | Exit Price | Profit | Profit % |
