Category Archives for "General"
I will be in Texas next week giving presentations. Click the links below for more details. I hope to see some readers there.
For more information see https://www.mta.org/event-registration/austin-chapter-meeting-featuring-cesar-alvarez/
For more information see http://www.afta-dfw.org/schedule.htm meeting #2.
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:
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.
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.
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,
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,
I am frequently asked what data provider I use. A year ago my data provider was CSI Data. Then I heard about Premium Data from Norgate Investor Services and the one feature that enticed me to look at them closer: historical S&P500 index constituent data. At that time, I was maintaining the data by hand. Each month I would have to determine which stocks had been added or deleted from the index. I would need to look for name changes in the current and historical list. Not a hard task but time consuming and easy to make mistakes. The thought of not having to do this was very enticing.
This review will focus on US Stocks and AmiBroker integration. Premium data has data for the Australian and Singapore markets, integrate with multiple other platforms and have forex and futures data. For more information go to Premium Data from Norgate Investor Services.
I have set up a page that contains AmiBroker code snippets I use all the time and you may find useful.
Starting on September 5, 2014, AmiBroker & Back Testing 101 is an eight week course for those of you wanting to learn AmiBroker and back testing. Contact me if you are interested in the course but the dates do not work. I am creating intermediate and advanced versions of the course.
Why don’t I make more frequent posts? The easy answer is backtesting is hard.
A test has three parts to it. First, coming up with the idea. I have more ideas than I can test. I have a notebook full of ideas. The hard part here is picking one. Second, writing the code and running it. This takes me a couple of hours to a couple of days to do. Writing code is the fun and mostly easy part, though sometimes it can be insanely hard. Third, is verifying the result are correct. It is the last step that can takes days to weeks to do. Then writing the post takes a couple of days.
About two years ago, I started using the Ulcer Index as another evaluation metric for portfolio backtests. I like how it captures both drawdown and drawdown length. It helps differentiate similar looking portfolios using the common metrics of Compounded Growth Rate, Share Ratio, and Maximum Drawdown. My plan was to write a blog post about it and then add it to the metrics I show on the blog. The blog Flirting With Models, found through the quant mashup Quantocracy, just made a great post on it which I highly suggest you go read: Looking into the Ulcer Index. They did a great job and saved me a post. I will show this metric on future portfolio tests.