[…]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 has given trading presentations both over the web and in person to hundreds of traders. I have been trading since 1996 mostly stocks and ETFs. I trade multiple quantitative strategeis both on the long and short side. The strategeis are mean reversion, trend following and breakouts with […]
[…]me that you are a Traders Fest 2018 participant when you sign up Click here for more information Tranquility Trading 10% discount on all subscriptions These are strategies that I created for my own trading Use coupon code: TRADERSFEST18 Click here for more information Backtesting Services Have an idea you want tested but don’t want to learn how to program? Let me test it for you I am currently not taking outside clients, but for a limited number of Trader Fest 2018 participants, I will make an exception Click here to learn more about my services. When you contact me, […]
[…]is risky because you never know when it may stop working or simply go into a period of under-performance. Given two strategies to trade, the questions I have are, what is the performance of trading them together? What percentage of the total portfolio should be allocated to each strategy? How often should I rebalance that allocation? AmiBroker Depending on your backtesting platform, this may be easy to do. AmiBroker, my backtesting platform, does not make this easy to do. What I need to do is run each strategy and create an equity curve for each. Then I can combine the […]
[…]platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant trading, Fill in for free […]
[…]files from classes Code templates that allow you to get coding quickly One hour of one-on-one access (over email or Skype) to Matt to ask any questions you may have Bonuses: Get 2 additional video recording of the live office hours. If you have the AmiBroker basics worked out, and you want to progress to the level of creating robust, accurate and incredibly powerful back-tests, Matt will guide you through it brilliantly in this course. Do this if you don't want to stay an amateur, but want the easiest possible leaning curve! Matt is an excellent instructor and he really knows his stuff. […]
[…]at a limit price today at 1/2 of ATR(10) below previous close 12.5% of portfolio in each position Only enter orders so if they all fill will not have over 8 open positions Sell 2 period RSI greater than 40 Exit on next open Nothing fancy here. Simple setup, entry and exit rules. Results Dates: 1/1/2006 to 10/31/2016 (click image to enlarge) These are some decent looking numbers given the rules. Unfortunately like a lot of stock mean reversion strategies, the last couple of years have not been that great. Spreadsheet Fill the form below to get the spreadsheet […]
[…]numbers and see the results for your own strategy. This is one of the best spreadsheets I have done for the site. Base Test The letter at the link used monthly timeframe. Since my trading is much more frequent, I decided to do the analysis on the daily timeframe. This test will cover from 1/1/2006 to 7/31/2016. Up Capture To calculate Up Capture one takes the percent return of your strategy divided by the percent return of the SPY for each day the SPY is up. Then one averages all these numbers. For example if the SPY is up 1% […]
[…]times in this space about the importance of examining your assumptions before taking any action on quantitative research. Advantages With Mechanical Strategies A lot of the best traders (at least the ones I know) use some kind of mechanical rules in their trading. “Mechanical” implies that the rules are based on some kind of objective rules, usually quantified data. The trader should follow these rules exactly without hesitation or emotion. In this respect mechanical trading is the complete opposite of discretionary trading. The Success Equation: Untangling Skill and Luck in Business, Sports, and Investing In most domains of […]
[…]for the difference in returns depending on the starting date. This is a completely valid question. Are three better returns for a strategy in a particular area of the month or is it random? I do believe that luck plays a large part in our trading results, which is a future blog post. But from previous work on 5 day holds, I know that the end of the month and beginning on the month tend to be better times for ETF mean reversion. I have been investigating monthly ETF rotation strategies lately. This would be a good time to combine […]
[…]because that is how frequently I am trading. The downloadable spreadsheet will also include a 3-month lookback. A substantial improvement in CAR & MDD. Partial Allocation Portfolio My next thought was what if instead of allocation 100% to better performing asset, we instead allocated 80% to better one and 20% to the other. Would this help with the MDD, which is high? Some reduction in MDD but not enough to compensate for the CAR reduction. The spreadsheet includes more percent allocations. Spreadsheet Fill in the form below to get the spreadsheet with lots of additional information. See the results of […]
