Final optmial range of technical indicators for maximizing P&L
Objective: I was given a dataset (570 rows × 6 columns) containing historical trade details such as entry price, exit price, p&l and some technical indicators like atr_perc, roc and rsi. Objective was to analyze dataset in python and try to find best range of atr_perc , roc , rsi so that the sum of P&L is maximized for the range of values for atr_perc , roc , rsi.
Solution:
Indicator Min. Value Max. Value
RSI 58.02 89.72
ATR_perc 0.274223035 0.427709112
ROC -77.72927145 2633.788326
Final P&L if we take entry only when given technical indicators were within above range: Rs. 65773
Time taken by program to process complete data and generate output: 2.03 seconds