Optimization Output Example

Example output from running the optimization code above on a year of S&P data.

Best Indicator parameters found:
best_period = 23
model = SimpleMovingMedian
difference = 2.3
Rating: 0.356842105263158
Best Indicator values: [(5083.89766, 5203.58, 5323.262339999999), (5083.89766, 5203.58, 5323.262339999999), (5083.89766, 5203.58, 5323.262339999999), ...]

Analysis

The optimized Moving Constant Envelopes strategy (23-period Simple Moving Median with 2.3 difference) significantly outperformed the default configuration (10-period Simple Moving Average with 2.0 difference) in a backtested trading simulation. Starting with $1,000 and investing 20% per trade, the optimized parameters generated a profit of $20.70 (2.07% gain) with 15 trades executed, while the default parameters resulted in a loss of $26.03 (-2.60% loss) with only 3 trades. The optimized strategy's use of the median instead of mean reduces sensitivity to price outliers, and the wider envelope bands (2.3 vs 2.0) with a longer period (23 vs 10) provided more reliable signals that better captured meaningful trend reversals rather than minor price fluctuations.

Optimized Trading Simulation

Default Trading Simulation

Trading Simulation Code

For those who want to run their own simulation to compare results.

use centaur_technical_indicators::chart_trends::{peaks, valleys};
use centaur_technical_indicators::candle_indicators::bulk::moving_constant_envelopes;
use centaur_technical_indicators::ConstantModelType::SimpleMovingAverage;

fn chart_simulate_trading(best_indicator: &[(f64, f64, f64)], best_period: usize, close: &[f64]) {
    println!("
--- Trading Simulation ---");

    let initial_capital = 1000.0;
    let mut capital = initial_capital;
    let investment_pct = 0.20;

    struct Position {
        entry_price: f64,
        shares: f64,
    }

    let mut open_long: Option<Position> = None;
    let mut open_short: Option<Position> = None;

    // Print table header
    println!("{:<5} | {:<19} | {:<10} | {:<10} | {:<12} | {:<15} | {:<10}",
             "Day", "Event", "Indicator", "Price", "Shares", "Capital", "P/L");
    println!("{}", "-".repeat(95));

    for i in 0..best_indicator.len() {
        let price_index = i + best_period + 1;
        if price_index >= close.len() { break; }

        let indicator_overbought = best_indicator[i].2;
        let indicator_oversold = best_indicator[i].0;
        let current_price = close[price_index];
        let day = price_index;

        // --- Handle Long Position ---
        if let Some(long_pos) = open_long.take() {
            if current_price > indicator_overbought as f64 {
                let sale_value = long_pos.shares * current_price;
                let profit = sale_value - (long_pos.shares * long_pos.entry_price);
                capital += sale_value;
                println!("{:<5} | {:<19} | {:<10.2} | ${:<9.2} | {:<12.4} | ${:<14.2} | ${:<9.2}",
                         day, "Sell (Close Long)", indicator_overbought, current_price, long_pos.shares, capital, profit);
            } else {
                open_long = Some(long_pos); // Put it back if not selling
            }
        } else if current_price < indicator_oversold as f64 && open_short.is_none() { // Don't buy if short is open
            let investment = capital * investment_pct;
            let shares_bought = investment / current_price;
            open_long = Some(Position { entry_price: current_price, shares: shares_bought });
            capital -= investment;
            println!("{:<5} | {:<19} | {:<10.2} | ${:<9.2} | {:<12.4} | ${:<14.2} | {}",
                     day, "Buy (Open Long)", indicator_oversold, current_price, shares_bought, capital, "-");
        }

        // --- Handle Short Position ---
        if let Some(short_pos) = open_short.take() {
            if current_price < indicator_oversold as f64 {
                let cost_to_cover = short_pos.shares * current_price;
                let profit = (short_pos.shares * short_pos.entry_price) - cost_to_cover;
                capital += profit; // Add profit to capital
                println!("{:<5} | {:<19} | {:<10.2} | ${:<9.2} | {:<12.4} | ${:<14.2} | ${:<9.2}",
                         day, "Cover (Close Short)", indicator_oversold, current_price, short_pos.shares, capital, profit);
            } else {
                open_short = Some(short_pos); // Put it back if not covering
            }
        } else if current_price > indicator_overbought as f64 && open_long.is_none() { // Don't short if long is open
            let short_value = capital * investment_pct;
            let shares_shorted = short_value / current_price;
            open_short = Some(Position { entry_price: current_price, shares: shares_shorted });
            // Capital doesn't change when opening a short, it's held as collateral
            println!("{:<5} | {:<19} | {:<10.2} | ${:<9.2} | {:<12.4} | ${:<14.2} | {}",
                     day, "Short (Open Short)", indicator_overbought, current_price, shares_shorted, capital, "-");
        }
    }

    println!("
--- Final Results ---");
    if let Some(pos) = open_long {
        println!("Simulation ended with an OPEN LONG position:");
        println!("  - Shares: {:.4}", pos.shares);
        println!("  - Entry Price: ${:.2}", pos.entry_price);
        let last_price = close.last().unwrap_or(&0.0);
        let current_value = pos.shares * last_price;
        capital += current_value;
        println!("  - Position value at last price (${:.2}): ${:.2}", last_price, current_value);
        println!("{{ position = "LONG", shares = {}, entry_price = "${:.2}", position_value_at_last_price = "${:.2}" }}", pos.shares, pos.entry_price, current_value);
    }
    if let Some(pos) = open_short {
        println!("Simulation ended with an OPEN SHORT position:");
        println!("  - Shares: {:.4}", pos.shares);
        println!("  - Entry Price: ${:.2}", pos.entry_price);
        let last_price = close.last().unwrap_or(&0.0);
        let cost_to_cover = pos.shares * last_price;
        let pnl = (pos.shares * pos.entry_price) - cost_to_cover;
        capital += pnl;
        println!("  - Unrealized P/L at last price (${:.2}): ${:.2}", last_price, pnl);
        println!("{{ position = "SHORT", shares = {}, entry_price = "${:.2}", position_value_at_last_price = "${:.2}" }}", pos.shares, pos.entry_price, pnl);
    }

    let final_pnl = capital - initial_capital;
    println!("
Initial Capital: ${:.2}", initial_capital);
    println!("final_capital = "${:.2}"", capital);
    println!("total_P_L = "${:.2}"", final_pnl);

}

fn main() {
    // Fetch data and perform optimization as shown in the optimization code above

    chart_simulate_trading(&best_indicators, best_period, &close);

    println!("
Default Indicator values for comparison:");
    let default_dc = moving_constant_envelopes(&close, ConstantModelType::SimpleMovingAverage, 2.0, 10);
    println!("{:?}", default_dc);
    chart_simulate_trading(&default_dc, 10, &close);
}