Category Archives for "Trend Following"
September 20, 2017
- in ETFs , Trend Following by Cesar Alvarez
ETF Sector Trading: The effect of daily, weekly and monthly timeframes
I recently gave a presentation on Sector trading using the 200-day moving average at the Northwest Traders and Technical Analysts. Some questions asked were:
- What if we only trade this monthly?
- What if we used weekly bars to trade only weekly?
- What if we used weekly bars to trade monthly?
The reason for these questions was to reduce the frequency of having to check signals and the total number of trades. My first response was that the results would probably be a little lower and the trade count also would be lower. But that was just a guess. I have been doing this long enough to know that I wrong 40% of the time. Curiosity got the better of me and I tested it out.
August 23, 2017
- in ETFs , Trend Following by Cesar Alvarez
Sector trading using the 200-day moving average – Part 2
Several readers asked for additional tests to be done on the strategy on Sector trading using the 200-day moving average. We will be testing allocated 11% per ETF instead of 10%, using asymmetric number of days and adding IEF to the SPY MA200 10 day test.
August 2, 2017
- in ETFs , Trend Following by Cesar Alvarez
Sector trading using the 200-day moving average
A user commented on ETF Sector Rotation post about a simple idea for trading the sector ETFs, which I can’t believe I have never tried. I like keeping things simple just like my Brazilian Jiu-Jitsu game.
April 13, 2016
- in Mean Reversion , Research , Trend Following by Cesar Alvarez
Relative Strength Index (RSI) Analysis
Recently I have been researching longer term hold strategies. I wondered which indicators by themselves would show an edge 3 to 6 months out. I am not looking to create a strategy from the indicator alone but want to know is there a statistical edge with it. Naturally, I started with my favorite Relative Strength Index, RSI.
January 6, 2016
- in Research , Trend Following by Cesar Alvarez
Using Stops: The Good, The Bad and The Ugly
I recently gave a presentation on Better System Trader about using stops on a breakout strategy. The research produced results I was not expecting and may be surprising to you. The stops tested are
- No stops
- Maximum Loss using ATR (Intraday and End of Day)
- Maximum Loss using percentage (Intraday)
- Trailing ATR (Intraday and End of Day)
- Profit target using ATR (Intraday and End of Day)
July 8, 2015
- in ETFs , Trend Following by Cesar Alvarez
XIV a heart attack waiting to happen
A research friend recently sent me a link to The #1 Stock In The World. Besides being a blatant title to get one’s attention (and it worked on me), I found the idea interesting along with my research friends. I have been trying to add either XIV or VXX to my trading in some small way. The article is only doing a buy and hold on XIV but it peaked my interest to try some other ideas.
January 28, 2015
- in Stocks , Trend Following by Cesar Alvarez
Trading stock splits
Trading stock splits is something that I have read about for long time but never researched. This article, A simple way to beat the market with stock splits, caught my eye and gave me the push to investigate the topic. This falls into the category of a topic I have heard a lot about that I can’t believe that it would work but as always one must test. One never knows.
November 19, 2014
- in ETFs , Trend Following by Cesar Alvarez
Heikin-Ashi Charts
A reader recently introduced me to Heikin-Ashi charts. Popular with forex traders for showing trends which at first look of chart sure seems that way. Look at these two daily charts. The top one is a standard Candlestick chart while the bottom is Heikin-Ashi chart.
The trend of unbroken green sure seems more obvious and stronger in the Heikin-Ashi chart. Will testing confirm this?
September 22, 2014
- in Stocks , Trend Following by Cesar Alvarez
DTAYS Weekly Breakout Strategy With Time Stops
I recently read on Don’t Talk About your Stocks about an idea that stocks that were losers after (4, 6, 8) weeks should be sold to make way for other stocks that may do better. Will this idea improve the results from the original DTAYS Weekly Breakout Strategy? This reminded me of research I did while working for Larry Connors. On a mean reversion strategy we were researching, we noticed that after 10 days, 95% of the positions end up being losers. Then came the ‘obvious’ rule to add. Exit a position if it had not bounced after 10 days. We both thought this would greatly improve the results. It did the opposite and hurt them. Why? Because it was better to wait for the bounce even if the trade was a loser.
July 7, 2014
- in Stocks , Trend Following by Cesar Alvarez
Low Volatility Stocks: 20%+ CAGR Portfolio
Continuing on from our previous posts and research, Should one trade high or low volatility stocks? , Stops and trading high vs low volatility stocks, and Low Volatility Stocks and Profit Targets, we are now testing how these results translate to a portfolio. I pick one variation from each of the tables from the Low Volatility Stocks and Profit Targets. From that one a variation we create a portfolio with a maximum of 10 stocks.
