Category Archives for "General"

The ABCs of creating a mean reversion strategy – Part 1

I was recently interviewed on Better System Trader, click here for part one of the interview, about the steps for creating a stock mean reversion strategy. I will be covering and expanding on the topics from the interview. These steps, for the most part, would apply to any strategy one is creating. The focus will be a long stock mean reversion strategy using daily bars.

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Indicator Comparison: Ehler My Stochastic Indicator, RSI and ConnorsRSI

Like all traders, I am always on the lookout for any new indicators better than the ones I am using. I have been using and promoting RSI2 since 2004 for mean reversion trading. I created the ConnorsRSI in 2012. Am I married to these indicators? No. If I find something ‘better’ I will drop them. I came across this article Battle of the oscillators, I had to try it out.

One thing to understand, is that each situation is different. An indicator that works great on ETFs may work not as well on futures. Also, each person has a different metric on what is ‘better.’

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June 21, 2017

In-Sample and Out-Of-Sample Testing

I am frequently asked if I do out-of-sample testing. The short answer is not always and when I do, it is not how most people do the test. There are lots of considerations and pitfalls to avoid when doing out-of-sample testing. Out-of-sample testing is not the panacea it is made out to be. There are lots of grey areas which I will discuss below.

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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,


October 10, 2016

Presenting in Dallas and Austin, Texas

I will be in Texas next week giving presentations. Click the links below for more details. I hope to see some readers there.

October 17, 2016 Austin Market Technicians Association

For more information see


October 18, 2016 Dallas Association for Technical Analysis

For more information see meeting #2.


Good quant trading,

August 24, 2016

Cesar’s Ask Me Anything Webinars

To those on my new blog notification list, I sent out the opportunity to join me in a one hour webinar where people could ask me anything about trading. I had a ton of fun answering lots of great questions. See the bottom of the post for links to download the mp3 files of the webinars.

Some questions, I answered are:

  • What types of strategies are you trading?
  • How long a period of underperformance you would tolerate?
  • How do we know that we have a robust system? Walkforward vs Monte Carlo vs SPR vs other?
  • Why do you not manage outside money?
  • Am I mistaken that you don’t prefer trading trend following or momentum based systems/strategies. Can you explain why?
  • How do you come up with the underlying idea for a brand new trading strategy?
  • And many more great questions!

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May 4, 2016

Making new equity highs. It happens less than you think.

A reader sent me a link to presentation, Robert Frey – 180 years of Market Drawdowns, about drawdowns and the time that a strategy is underwater. I highly suggest you watch it. I wanted to perform my own analysis on how often a buy and hold strategy on the S&P500 index is making new equity highs. Then, I wanted to compare the results to a new strategy I am working on for my trading. From previous experience, this number is a lot lower than people expect.

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May 22, 2015

ATAA Conference Trip Report

I am back from the Australian Technical Analysis Association meeting in the Gold Coast, Australia. I had a great time meeting readers of the blog and other traders. Lots of good presentations. My favorites include those by Alan Clement and Andrew Gibbs, which provided me with new research ideas. These include trend following and using fundamental data. Rande Howell talked about our emotions, which as quant traders we believe we can ignore but we cannot.

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April 29, 2015

Interviewed on Better System Trader

I was recently interviewed on Better System Trader. Go here to listen to it. He also has some other good interviews with Jake Bernstein and Brent Penfold which I listened to. I need to get around to the Nick Radge interview because I am meeting him next month at the 2015 Australian Technical Analysts Association.

Some quotes from my interview.

There is nothing that will dig at you like trading with real money on the line.

Most of the time huge losses can’t be avoided because they’re overnight gaps you can do nothing about.

The wrong time to be making your plan is in the middle of a trade.


Got questions about the interview? Send them my way here.

As a side note, the site got a makeover because the site was not “mobile-friendly” which Google does not like. If you see any problems or have comments, email me.

Good Quant Trading,

March 25, 2015

Speaking at the 2015 ATAA conference

I will be speaking at the 2015 Australian Technical Analysts Association on May 15 to 17, 2015. My topics are “The development of an S&P500 stock weekly rotation strategy” and “From Internet Article to Trading Strategy: An ETF Monthly Rotation Strategy.” For more information about the conference go here. I am excited to meet some of my readers at the conference.

I will have two free days to explore Sydney before the conference. If you have any suggestions on things to do and see (I will not have a car) or places to eat (from hole-in-the-wall to fancy) or hotel to stay at (want to stay in the heart of Sydney), put them in the comments.

On May 13th, I would like to get together with some of my Australian readers in Sydney. If you are interested in meeting either for dinner or drinks, please contact me. Depending on the size of the group it may just be drinks. Any suggestions on where to have the get together are appreciated. I plan to stay in the heart of Sydney but have not booked my hotel yet.

What is the must eat restaurant in the heart of Sydney? Put it in the comments below.

Good quant trading,