[…]in the bull market of the 1990’s. I was doing my internship training in the beautiful state of Hawaii, and I had borrowed an additional $20,000 in student loans and invested in the stock market. I was a tech nut, and I had invested in all of the tech wonder stocks from CSCO to JDSU to INTC and AOL. It was unbelievable, while my co-residents were eating Ramen noodles, I was living the high life. Then, it all came crashing down . Click here to download the free […]
[…]your first class. If you do not receive that email or have problems with the download, use the Contact Me form to tell me your issue. Anytime during the course, feel free to ask me questions about topics covered or general trading. Thank you and […]
[…]The idea is that the high proportion of the lowest risk investments ensures limited damage to one’s portfolio should all hell break loose while exposure to the riskiest investments allows decent upside. Ride Winners and Cut Losers. Period. For testing purposes, we create 2 samples. The first sample is from 1927 to 1962 and the second sample is from 1963 to 2013. The samples are selected in a way that we can compare the results of the momentum simulations to the value simulations, which run from 1963 to 2013. Volatility Over the Past Century Have a look […]
Over the last month several people have asked me how important it is to have survivorship-free data. For any researcher this is an important question to understand how the different data can change your results. We will be exploring three potential data issues: as traded prices, delisted stocks (survivorship-bias), and historical index constituents (pre-inclusion bias). My data source is CSI Data, which includes delisted stocks and as traded prices. Unfortunately they are no longer selling this package to individuals. Norgate Data supplies delisted stocks and as-traded pricing. I have not used them before. I welcome comments from people that have […]
[…]Tool. ConnorsRSI For the ConnorsRSI Guidebook, click here File: Click to download: ConnorsRSIa.afl // Provided by Cesar Alvarez www.AlvarezQuantTrading.com // ConnorsRSI from http://analytics.tradingmarkets.com/ConnorsRSI/paramLenRSI = Param("RSI Closes Length", 3, 2, 100, 1); paramLenUD = Param("RSI UpClose Length", 2, 2, 100, 1); paramLenRank = Param("PerecentRank Length", 100, 10, 200, 1);function ConnorsRSIa(arr, lenRSI, lenUD, lenROC) { upDays = BarsSince(arr = Ref(arr,-1)); updownDays = IIf(upDays > 0, upDays, IIf(downDays > 0, -downDays, 0)); crsiT = ( PercentRank(ROC(arr,1), lenROC) + RSIa(updownDays,lenUD) + RSIa(arr, lenRSI))/3; return crsiT; }function ConnorsRSI(lenRSI, lenUD, lenROC) { upDays = BarsSince(C = Ref(C,-1)); updownDays […]
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 […]
[…]but cannot test it? Want to improve your current trading strategy? As nine years Director of Research for Connors Research and 18 years as a quant researcher, I can test your idea and give you professional results which will give you confidence in the strategy you are trading. Quant Services. Searching for trading strategies? I have developed a large number of successful trading strategies used by investors and fund managers in the United States and internationally. See Tranquilility Trading. Searching for an AmiBroker expert? I have over a decade of full time experience programming in AmiBroker. As an expert AmiBroker […]
[…]The important part of this calculation is that you use the log values of the daily return. The reason for this is that a 1% up day followed by a 1% down day does not get you a 0% total return. This is what you would get if you simply sum the values. Taking the natural log of 1 plus daily return allows you add the values and get the correct total return. From the average and standard deviation, you can then draw the linear version of the curve from the start to the end of your data, as shown […]
The last few months, I have been busy doing research for Larry Connors’ new book, Buy The Fear, Sell The Greed. As always, it is fun and challenging to research for a book. The book has seven strategies, trading both ETFs and stocks, with full rules and results. They are: RSI Power Zones: Long ETF strategy Crash: Short Stock strategy Vol Panics: Short VXX strategy VXX Trend Following: Short VXX strategy with over two month holds Trading New Highs: Long Stock strategy TPS: Long ETF strategy. Short ETF strategy Terror Gaps: Long ETF strategy. My favorite strategy is Crash because […]
[…]for details.PrerequisitesAmiBroker 6.0 or greaterDaily data source connected to AmiBroker with latest quotesA desire to put the time in to learn programming and backtesting Thanks for everything, you are doing an "awesome" job at teaching this. I have no programming experience whatsoever, and new to Amibroker, but because of your ability to break this down, I am actually learning the material. Thanks for being so mindful in covering each and every step so that even a beginner with zero experience can get so much from the course. Michael Tracy Course FormatEach video will be about 45 minutes long. First I […]
