[…]to appear more sophisticated than others. More specifically, the idea is to appear to know the information that other people do not know and to have a certain cleverness about your approach and how you look at problems. Absolute Returns LOL If your so-called “Absolute Returns” hedge fund crushed it over the last 18 months, I have two pieces of news for you: A) it’s not really an absolute returns vehicle after all and B) it’s going to crush you when the worm turns, regardless of what you’re counting on it to do. Volume and Volatility: Why Many […]
[…]other values in the last M days. Basically the less new highs you have made and the worse it is compared to the others, the more you invest. Think of this as a mean reversion of volatility. The opposite of idea 2. The AmiBroker code is “pct = […]
[…]the last 11 years. An average 21 day rolling correlation with the SPY of .20. Passes your out-of-sample testing. Passes your parameter sensitivity testing. Raise your hand if you would trade this? I would be the guy jumping up and down saying “yes!”. Now you trade the strategy and the first year you lose money. Do you stop trading it or keep going? What about after two years, your average return is only 11%, half the backtested results? Do you stop trading it or keep going? I would have a hard time trading it after two years. I can say […]
[…]the same ideas from the post but on a basket of bond ETFs. The Basket The first difficult decision one must make is what ETFs will be in the basket. What we choose here, can have a big impact on the results. I wanted to focus primarily on the US bond market. One factor I considered is picking ETFs with long histories. Lots of bond ETFs did not start trading until 2010 or later. JNK – SPDR Bloomberg Barclays High Yield Bond ETF SHY – iShares 1-3 Year Treasury Bond ETF TLT – iShares 20 Plus Year Treasury Bond ETF […]
[…]we used weekly bars to trade only weekly? What if we used weekly bars to trade monthly? The reason for these questions was to reduce the frequency of having to check signals and the total number of trades. My first response was that the results would probably be a little lower and the trade count also would be lower. But that was just a guess. I have been doing this long enough to know that I wrong 40% of the time. Curiosity got the better of me and I tested it out. Original Rules If the Select Sector SPDR ETF […]
[…]strategy because the first possible entry date is the day after the split, which is known. N-Month hold test For the first test we will simply buy the splits and hold them for N-months. Nothing fancy but this what the original article stated. Buy Rules Stock is a member of the Russell3000 The 21 day moving average of Close*Volume > 1,000,000. A simple liquidity filter. It is 2 weeks before the split. Will also test it is 2 weeks after the split. Buy at the next open Maximum of 10 positions with 10% per position Sell Rules Sell (1,3,6,12) months […]
[…]platform used: AmiBroker. Data provider:Norgate Data (referral link) Good quant trading, Fill in for free […]
[…]strategy using only IBS. I have not had success with this because IBS is only looking at a one-day mean reversion. You could calculate IBS over the last n-bars, to create a multi-day IBS. Maybe for another post. If you are not using IBS on your mean reversion strategies, I recommend you give it a try. Backtesting platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant […]
[…]SPY, EEM, TLT, GLD, DBC Score: 3-month ROC Two open positions only 50% allocation Long-only No rebalancing Adjusted data from Yahoo Finance Although this seems like a simple strategy, his results are not close to the test he was trying to match. When I get rules from consulting clients, we spend a lot of time clarifying them. Here are my questions: What of entry or exiting timing? Is it at the close or the next open or some other price? I will test both. What are commissions? I will use zero. What is the starting portfolio value? I will use […]
[…]Rule The ConnorsRSI rule is true on a cross of the value. If the ConnorsRSI rule is […]
