Cesar Alvarez
Author Archives: Cesar Alvarez
Cesar Alvarez
February 22, 2017
- in ETFs , Rotation by Cesar Alvarez
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.
January 25, 2017
- in ETFs , Rotation by Cesar Alvarez
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?
January 4, 2017
- in Mean Reversion , Stocks by Cesar Alvarez
N-Day exits with Mean Reversion
My last post on using PercentRank to measure mean reversion proved very popular. A reader looked at the trades and wondered if it would be best to exit after five days because the average trade with longer holds was a loser. I am surprised I have not covered this topic before.
December 7, 2016
- in Mean Reversion , Stocks by Cesar Alvarez
Using recent returns for Mean Reversion
In most of my mean reversion posts, I use RSI(2) to determine if a stock has sold off. In this post, I will explore how to use a stock’s recent return to determine if it has sold off. This will be done in way to normalize the return between low and high volatile stocks. This basic strategy has only two setup rules.
November 16, 2016
- in Data , ETFs by Cesar Alvarez
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.
November 6, 2016
- in Research by Cesar Alvarez
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?
October 10, 2016
- in General by Cesar Alvarez
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 https://www.mta.org/event-registration/austin-chapter-meeting-featuring-cesar-alvarez/
October 18, 2016 Dallas Association for Technical Analysis
For more information see http://www.afta-dfw.org/schedule.htm meeting #2.
Good quant trading,
October 5, 2016
- in AMA by Cesar Alvarez
Ask Me Anything Video for October 5, 2016
In this short five minute video I will answer the following questions:
- Have you used HV10/HV100 ratio? Have you found any value in it?
- When trading multiple strategies, how do you decide what percentage to allocate to each.
- What do you think about asset allocation ETF strategies, like Ray Dalio’s All Season portfolio?
- List of strategies: https://allocatesmartly.com/list-of-strategies/
September 28, 2016
- in Research by Cesar Alvarez
Taming High Return and High Risk
I was at a recent talk of the Northwest Traders and Technical Analysts group where they presented a VXX strategy with some huge return and drawdown numbers. Trading this would be very difficult. This got me thinking. If I had a strategy like this, how could I tame the numbers? Through the years, I have seen various ideas about how to do this but never looked into it. Searching the web one can find various volatility ETF strategies with very high returns and high drawdowns. I found one that looked interesting and had lots of potential for optimization and improvement. Then, I optimized the hell out of it searching for a variation with over 100% CAGR. I found one but I would never trade it because I over fit the data. I needed to something to work with.
September 12, 2016
- in AMA by Cesar Alvarez
Ask Me Anything Video for 9/12/2016
In this short five minute video I will answer the following questions:
- I am interested in knowing a little bit more about your own trading. What types of strategies are you trading?
- Why do you not manage outside money?
- What are the trading books you recommend?
