[…]I am out of BJJ for the next 6 weeks. I plan to write several posts about how BJJ influences my research and trading to keep thinking about BJJ. These posts will be short and interspersed between my regular posts. Icons made by Freepik from www.flaticon.com is licensed by CC 3.0 BY One of my favorite parts about BJJ is that it forces you to focus. At the start of class, I am often still thinking about the research and trading day. I may be happy with my trading results for the day. Or thinking about a solution to research […]
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. Rules Test period is from 1/1/2006 to 12/31/2015. Rules in parenthesis are tested individually. There is no commission or slippage. RSI Rule The RSI rule is true on a cross of the value. If the RSI rule is ‘RSI2 < 5’ then this […]
[…]on Drawdowns’ to see how shallow drawdowns have been overall since 2009. This Is The Best Illustration Of History’s Bull And Bear Markets We’ve Seen Yet – A longer term look at the markets. Our current bull market does not look so great compared to others. I am sucker for pretty charts if you could not tell. Missing What is Missing – A good TED talk about survivorship bias outside the trading world with plenty of application back to the trading world. Mindfulness, meditation and investing – I thought that I would never do it but I started practicing mindfulness […]
[…]not try and time the market. One concept I like to do is to invert. Meaning try the opposite idea and see what you get. What I rarely see is the chart if you missed the worst X days. Given it is a rainy Sunday morning here in Seattle and I had nothing better to do, I wanted to see that chart. The Test The chart shown was through 2016. I used SP 500 Total Return index data from 1/1/1996 to 9/30/2018. Entry and exit are done at the close. For example, if tomorrow will be a best day, then […]
[…]amount. Back to our sea of green but with a little more yellow. Tactical Asset Allocation (TAA) TAA is a popular method of investing ETFs that are in different markets that are not supposed to go to one when the bear hits. I used the following ETFs: DBC (commodities), GLD (gold), HYG (high yield), LQD (corporate debt), SPY (big cap USA), TIP (TIPS), TLT (long-term bonds), VEA (international stocks), VNQ (real estate). TAA: January 1, 2020 to February 19, 2020 We have 36 pairs and 16.7% of them have correlation over .70 TAA: February 20, 2020 to March 24, […]
[…]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. Then the head slapping moment. Run the strategy during overlap period using both the real data and the synthetic data. If the synthetic data was good substitute, I would expect only a small change in the results. Overlap Period […]
This post will cover in detail two different ways of doing Monte Carlo analysis and the code needed to it in AmiBroker. A reader recently sent me this article, Monte Carlo Analysis For Trading Systems. The article covers three methods of Monte Carlo analysis. One of which I had never thought about and I had to slap my head on how simple it was. What is Monte Carlo analysis? The general idea behind Monte Carlo analysis is to add randomness to one’s strategy and see how it performs. You do this several hundred to several thousand times and one can […]
[…]looking at the signal at the end of the month. The reason for this is that both my rotation and TAA strategies trade like this and this might help the most there. In a future post I will look at the effects of trading on a different day of the month. Buy Rule Last trading day of the month Market timing gives a buy signal Enter on next Open Sell Rule Last trading day of the month Market timing gives a sell signal Exit on next Open Nothing complicated. While not in the SPY we will be in cash earning […]
[…]crossovers with similar to worse results. Send me any ideas you want tested on this indicator. Again, this reminds us what looks good in a chart may not test out. That is why I do these tests and share results even if they that don’t work out. Backtesting platform used: AmiBroker. Data provider:Norgate Data (referral link) Spreadsheet If you’re interested in a spreadsheet of my testing results, enter your information below, and I will send you a link to the spreadsheet. Included is a year by year breakdown of the returns. The raw data of the number of S&P500 stocks […]
[…]Man Inverted Hammer Shooting Star Black Spinning Top White Spinning Top Bearish Abandoned baby Bearish Evening Doji Star Dark Cloud Cover Three Outside Down Pattern Bullish Abandoned Baby Bullish Morning Doji Star Three Outside Up Pattern Bullish Harami Three Inside Up pattern Bearish Harami Three Inside Down Pattern Three White Soldiers Dark Cloud Cover Three Back Crows Change to Strategy The candlestick pattern must occur within the last three bars of our setup. Results As in the previous post, requiring a particular pattern greatly reduces the number of trades. A few patterns improved the avg % p/l but at […]
