[β¦]Strategy Test dates 1/1/2007 to 6/30/2021. I wanted a very simple mean reversion strategy to compare the entries. I did not care about how good the strategy was because I want to see how the entries would change the results. Setup Stock is or was a member of the Russell 3000 The original close is above $1 The 20-day moving average of the Close times Volume is above $500,000 The $SPX is above the 200-day moving average The stock is above the 200-day moving average The 2-period RSI is under 5 Entry Maximum 10 positions Enter on limit order 3.5% [β¦]
[β¦]What is smart beta? It is using different ways to weight an index and the ETF that tracks it. For example, the S&P500 index is a capitalization weighted index. Bigger companies have a larger portion of the index. If you look at the SPY, Apple which is the largest company, accounts for 4% of the index (https://www.spdrs.com/product/fund.seam?ticker=spy). Other ways one can weight an index are equal weight, by volatility, by fundamental measures, by technical measures and so on. Why would you do this? To beat the returns of the S&P500 index . But are these other ways better? Testing Notes [β¦]
[β¦]platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant trading, Fill in for free [β¦]
[β¦]next question is how good does the high SCTR compare to other ranking methods. The ranking methods to compare are High 3 month return High 6 month return High 9 month return High 12 month return High SCTR Low SCTR High HV100 Low HV100 The simple ranking by 6 or 9 month return does better than SCTR. Not by a lot but by a much simpler method. Notice the low MDD for using low HV100 ranking. A good sign for SCTR is that the low SCTR produces poor returns and the high SCTR produces good returns.Β Sometimes you will find [β¦]
[β¦]Results β Rate of Change on Close Not exactly the best results but this gives us something to compare against. I will be using the average of these results to compare against the other rankings. ROC on EMA Now we will change the ranking to be the highest ROC of the EMA. We will use the same length parameter for ROC and EMA. In AmiBroker this would look like: ROC(EMA(C, 63), 63). Well, that did not change the results much. I was not expecting a big change but I never know until I test it because half the time I [β¦]
[β¦]blue oval because the equity curve is below the moving average. Often people will pick an indicator to use and then trade the equity curve live without seeing how the backtested results may have changed. Conceptually I like trading the equity curve because it is potentially good way of getting out of a strategy that is no longer working. But for strategies doing fine but simply going through a drawdown, what kind of effect does it have? If one trades using the equity curve, one should test using the equity curve. The Strategy We will be using the ConnorsRSI strategy [β¦]
[β¦]of California, Berkeley where he received his Bachelors of Science in Electrical Engineering and Computer Science in 1989 and his Masters of Science in Computer Science in 1990. Cesar was a Software Engineer on Excel versions 3, 4, and 5, helping Microsoft Excel go from single digit market share to owning the market. Cesar spent nine years as a professional market researcher for Connors Research and TradingMarkets.com. Cesar has been at the forefront of stock market research, having developed a number of successful trading systems now used by numerous investors and fund managers in the United States and internationally. Cesar [β¦]
[β¦]platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant trading, Fill in for free [β¦]
[β¦]Thoughts Unfortunately the results did not improve from what we had last time. It is always a good to test new ideas. I am always surprised but what works and what does not. Keep the research suggestions coming. The next post will focus on the Fidelity sector mutual funds. Backtesting platform used: AmiBroker. Data provider:Norgate Data (referral link) Good quant trading, Fill in for free [β¦]
[β¦]evaluating an indicator, one test I do is creating a very simple strategy. Then add the indicator and see how it changes the results. I test a range of the indicator values and see if they behave as I would expect. I do not test this as a portfolio but as an βall-tradesβ test. I take all signals. I want to know how this improves the base strategy. I will be testing IBS on a mean reversion strategy. Buy Rules Stock is a member of the S&P500 Index 2-period RSI crosses below 2.5 Close is greater than 200-day MA The [β¦]
