[…]through July 31 as 444%! How much did the CAR depend on this year’s numbers? The Strategy The reason for my start of looking into this strategy was I was wondering how some basic mean reversion ideas did during this recent sell off and bounce. The strategy focuses on lower liquidity stocks therefore I will be giving no rules. Conceptually it is a basic mean reversion strategy. Wait for a stock to have a sell off, buy. Then when it bounces, sell. The test range is from 1/1/2007 to 7/31/2020. Initial Results When initially testing an idea, I simply look […]
From my post on Heikin-Ashi Charts, another researcher wrote Luck: The Difference Between Hired or Fired about how luck of the draw could account 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 […]
[…]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. The DTAYS strategy is […]
[…]the market is up only 2.6% in 3 months. OR NOT! After big moves in the market, we often see “research” saying that “when the market has done X it will move Y%.” I had a reader send me such research asking for my thoughts on it. The indicator was that the market had closed down 3 days in a row with volume each day above the top Bollinger Band. When this happens, this is good for the market 3 months out. There was no mention of the parameters used for Bollinger band. Or what “good” was exactly. I will […]
[…]on the last trading day of each calendar month. Test dates from 1/1/2010 (when have enough data to trade these ETFS) to 12/31/2023. First Thoughts The strategy seems to look for an up trending market with bonds and emerging markets doing well. I find it strange that it is using emerging markets as a filter and not US market since it is trading US market ETFs. The default of using TLT when markets are not good, which worked great until 2022, is/was a common choice. It will be interesting to see the 2022 numbers. Results I also tested different values […]
[…]Subscriptions These strategies are ones that I trade. They save you time and frustration of searching for your own strategy. Fully tested and with lots of statistics to help you decide which one is best suited for your portfolio. More info, click here. The Crew – Private Trading Community An elite community of traders sharing ideas, finding trades, and creating strategies so you can profit. Signals to all Tranquility Trading strategies. Research and rules to strategies available only to The Crew members. Private forum to connect and share ideas with other traders. Trader’s College presentations to learn more about specific […]
The post ETF Sector Rotation generated good ideas on what to try differently. This post will research two ideas using Fidelity sector mutual funds. The previous post focused on two ideas on the Select Sector SPDR ETFs. Mutual Fund Universe These tests will use the Fidelity Sector Mutual Funds. The list was provided by a reader from the original post. The data is from Yahoo.com. Mutual funds used are: FBIOX, FSHOX, FBMPX, FSCHX, FSRPX, FDLSX, FSCPX, FSPHX, FPHAX, FSAIX, FSCGX, FCYIX, FSRFX, FSDAX, FBSOX, FDFAX, FIUIX, FSCSX, FSDPX, FSVLX, FSHCX, FSPCX, FSAVX, FDCPX, FSTCX, FSUTX, FSPTX, FWLRX, FSRBX, FSENX, FNARX, […]
[…]2018 on December 11, 2018. What to see my presentation? Then sign up for TradersFest 2018. It’s a FREE 2-day online event where you’ll learn trading strategies & techniques. Topics from other presenters: Quantitative trading for retail traders How to develop a killer trading instinct How to trade Options for profit and protection How to find winning stocks in good times and bad How to level up your trading and become a confident trader — even if you’ve been losing for years Topics that I will cover include: What is quant trading and what it is not Tools of the […]
[…]programming and backtesting ideas in AmiBroker since 2001. For 9 years, he was the Director of Research for Connors Research where he created hundreds of trading strategies. He has taught AmiBroker at weekend trading seminars. Cesar will teach you how to use advanced features in AmiBroker. People have paid $1,000s and $10,000s to learn from Cesar. Included In The Course Prerequisites Both Amibroker 101 & 201 are fantastic courses that are packed with excellent information and Cesar is genuinely interested in making sure his students get all their questions answered and have a good understanding of the material presented. The […]
[…]in these high volatility markets. While others can suffer. In the June 2020 issue of Technical Analysis of Stocks and Commodities, Perry Kaufman writes an article about using the historical volatility of the equity curve to decide when to turn off a strategy. I always read Perry’s articles because they are full of good ideas and this was another one that I liked and had not tried before. The Rules Summary of rules as in the article. Keep track of the daily returns Calculate the 20-day historical volatility of your returns When volatility exceeds 30% and the return over the […]
