Overview

This strategy uses the Price Performance Index (PPI) to determine market trend direction - going long when PPI rises and short when it falls. PPI calculates price change percentage over a period to gauge price momentum and future direction.

Strategy Logic

Main logic:

• PPI calculates percentage price change over a period (default 14 days)

• When PPI rises, it indicates increasing price - go long

• When PPI falls, it indicates decreasing price - go short

• Option to reverse trade signals

Rising PPI shows accumulating upward momentum, falling PPI shows downward momentum. Tracking PPI with proper parameters can capture medium-long term trends.

Advantages

• Simple indicator to determine price trend and momentum

• Customizable parameters fit various products

• Clear and intuitive trading logic

• Reversal trading adapts to different market environments

Risks

• Unable to filter out short-term noise, prone to false breakouts

• No position sizing or stop loss management

• Poor parameters may miss trends or over-trade

Mitigations:

• Optimize parameters to balance stability and sensitivity

• Add stop loss to control loss per trade

• Consider position sizing to lower risk per trade

Enhancement Opportunities

• Test parameter combinations for different products

• Add other filters to screen false signals

• Develop dynamic position sizing mechanism

• Add trailing or time-based stop loss

• ML to judge signal quality

Conclusion

This strategy determines trend by price performance index, with simplicity and universality. Further improvements in parameters, risk controls etc. can make it a robust quant strategy. It provides an effective approach of using simple indicators for trend detection.