[β¦]create βsimpleβ strategies in AmiBroker. I assume that you know how to use IF-ELSE statement and FOR loops. Do I need a data source? Yes, you will. It can be Yahoo.com or any other. Can I ask questions? I highly encourage and like questions. You can ask questions dβover email Skype. How do I access the course material? I provide you with a download link each week. Do I need to go through each class each week? No. This is a self-paced course. Take your time going through it. I will be around to answer questions past the eight weeks. [β¦]
[β¦]Timeframe Looking at a monthly timeframe on the SPY, the trends seem even more pronounced. Time to test a simple strategy. Heikin-Ashi Rules Buy Rules If the close of the monthly bar is green (Close greater than Open) Enter on the open of the next monthly bar Sell Rule Β If the close of the monthly bar is red (Close less than Open) Exit on the open of the next monthly bar Β MA200 Rules (used for comparison) Buy Rules Β If the close of daily bar is above the 200 day moving average Buy on the next dayβs open [β¦]
[β¦]and most common way to do a correlation analysis to take the monthly returns of two strategies and compute the correlation over the entire period. We will be looking at all three possible combinations. The correlation between SPY and Sigma The correlation between SPY and Epsilon The correlation between Epsilon and Sigma When you see the correlation coefficient between strategies this is the most likely case. But one can also use weekly returns or daily returns. Results Β SPY-Sigma SPY-Epsilon Epsilon-Sigma Monthly 0.50 0.02 0.06 Weekly 0.65 0.18 0.23 Daily 0.69 0.23 0.27 Β As expected there is moderate correlation [β¦]
[β¦]results but nothing that made me decide this works for me. Using the equity curve to decide when to stop trading a strategy just sounds like it should work. But for me it is always about testing. I cannot count how often I thought an idea would help the results only to see them dramatically hurt them. Remember test everything! I have been thinking about other methods to use to trade the curve. I also wondered maybe it is the strategies I tested against that caused less than stellar results. I am working on a SP500 weekly mean reversions strategy [β¦]
[β¦]Seen Yet β 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 β A good TED talk about survivorship bias outside the trading world with plenty of application back to the trading world. Mindfulness, meditation and investing β I thought that I would never do it but I started practicing mindfulness about 2-3 months ago and have been surprised by thoughts that jump into my head. Β Good Quant [β¦]
[β¦]like and do not like Make suggestions on what you would like to see added Participate in the user forums Try and attend webinars Cost While the program is in beta, the cost is free. Once live the expected costs is between $200 and $800 per year. (SHOULD I REMOVE THE LAST LINE?) Beta [β¦]
[β¦]exposure to the riskiest investments allows decent upside. Β Ride Winners and Cut Losers. Period. For testing purposes, we create 2 samples. The first sample is from 1927 to 1962 and the second sample is from 1963 to 2013. The samples are selected in a way that we can compare the results of the momentum simulations to the value simulations, which run from 1963 to 2013. Β Β Volatility Over the Past Century Have a look at the chart nearby. It comes to us from Goldman Sachs via FT Alphaville, and it shows that spikes in volatility are quite unusual. [β¦]
[β¦]during these very bullish times. As strategy developers we often add rules to improve some metric, for example CAR or Sharpe Ratio. But just as important are rules that will help you keep trading the strategy even if the rule worsens your metrics. That is the case of what I did with my short strategy. I added two new rules that made the results worse, but I believe will make it easier for me to trade in the future. The Original Strategy The original strategy trades Russell 3000 stocks and it is a typical mean reversion strategy. I will not [β¦]
[β¦]value is only .04. In the perfect world, this would be a nice up-sloping line from bottom left to top right. Looking at the table, trades with VPN greater than 25 looks like they may do better. Looking at those trades we get the following. Β A 13% improvement in avg %p/l. Not much. What next? For me, it is trying different parameter lengths. Typically, I try smaller first. Trying VPN(20) improved the results (see spreadsheet) and so did VPN(10). VPN(10) Results The linear regression line is sloping up more and the r-squar3ed is .39. Better results. The VPN cutoff [β¦]
[β¦]for Larry Connorsβ new book, Buy The Fear, Sell The Greed. As always, it is fun and challenging to research for a book. The book has seven strategies, trading both ETFs and stocks, with full rules and results. They are: RSI Power Zones: Long ETF strategy Crash: Short Stock strategy Vol Panics: Short VXX strategy VXX Trend Following: Short VXX strategy with over two month holds Trading New Highs: Long Stock strategy TPS: Long ETF strategy. Short ETF strategy Terror Gaps: Long ETF strategy. My favorite strategy is Crash because it is very similar to the short strategy I trade [β¦]
