Cesar Alvarez
Author Archives: Cesar Alvarez
Cesar Alvarez
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?
September 7, 2016
- in Research by Cesar Alvarez
Strategy Up/Down Capture
A reader sent this interesting link about Up/Down Capture. The great part about this article it is something I have intuitively known about my trading strategies but never tried to quantify. This was the bump I needed to investigate this concept. When the SPY moves up on average how much does my strategy profit? When the SPY moves down how much does my strategy lose? I had fun creating an interactive spreadsheet where you can change the numbers and see the results for your own strategy. This is one of the best spreadsheets I have done for the site.
August 24, 2016
- in General by Cesar Alvarez
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!
