Cesar Alvarez

Author Archives: Cesar Alvarez

March 27, 2017

CORRECTION: Simple ConnorsRSI Strategy

While doing the research for the next article based on Simple ConnorsRSI Strategy on S&P500 Stocks, I discovered that I had not tested what I wanted. Unfortunately errors are made while doing research and my goal is to catch them before publishing them. I did not in this case. Fortunately the results did not significantly change. The top CAR went from 27.32 to 26.63. As usual the error made the numbers comes down. Why is it that it never happens that they go up? See the post for the corrected numbers. I have also uploaded a new corrected spreadsheet.

Good Quant Trading,


Simple ConnorsRSI Strategy on S&P500 Stocks

A frequently asked question is how I pick which variation from an optimization run to trade.  This post will cover a ConnorsRSI strategy on S&P500 stocks. We will use a wide range on the parameters to give us lots choices to be used in the next post. I the next post, I will show how I take the results and narrow it down to one potential variation to trade. And then the final post, I will cover parameter sensitivity to help determine if the results are likely overfit or not.

3/27/2017 CORRECTION: When I originally posted this, the results shown in the tables were not for the rules shown below. The table results are now matching the rules as below. The spreadsheet also has the corrected results.

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February 22, 2017

Country ETF Rotation – Reader’s Suggestions

My last post on Country ETF Rotation generated several ideas of what to test to improve the results. See the original post for the list ETFs being traded. One important test I left out from the original post was a baseline case. An idea applied to all the tests was trading more ETFS. For all tests, I will be showing results of trading (2,5,8) ETFs in the spreadsheet. Testing is from 1/1/2007 to 12/31/2016.

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January 25, 2017

Country ETF Rotation

My recent research has been focused on finding strategies that are not highly correlated with the S&P500 index. One of my most popular posts is ETF Sector Rotation. The idea for this post is to apply those concepts to a list of country ETFs. Would this produce decent returns that were not highly correlated to the S&P500 index? I would like to see the correlation under .50. What about adding a filter to not enter an ETF when it is highly correlated with the S&P 500?

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November 16, 2016

Is synthetic XIV/VXX data safe to use?

I have done several posts about trading XIV & VXX. In these posts (here, here and here) I refer to using synthetic data before these ETFs started trading. I supported the use of the data due to the very high correlation of daily returns during the overlap period. With a correlation of .97, I thought great the data should be good to use for backtesting.

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November 6, 2016

Nine days down. How bad is that?

As anyone who pays attention to the market, the S&P500 is down nine days in a row. I had several people write me about this. I was talking to a trading friend over the weekend about this. Nine days down seems bad. Let us put this in a broader context. How far have we come down in those nine days? Only 3.07%. Now that got me thinking is 3.07% in nine days that bad?

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October 26, 2016

VXX & XIV Strategies

My recent research has been on the volatility Exchange Traded Products. My focus has been on long trades using VXX and XIV. Although VXX has a very strong downtrend, I am not a fan of developing short strategies on it due to the huge upside risk.  I wrote about XIV here and expressed some of the dangers of trading these ETFs.

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