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Slippage and low liquidity stocks
[…]bounce. Test range: 1/1/2007 to 12/31/2007 Original Results For my testing, I normally use $.01/share for slippage and commission. I will be adding the additional slippage to these results. We will be focusing on CAR and MDD as we add slippage. The “# Entry” column is the number of trades entered at the open and that was the low of the day. The “# Exit” column is the number of trades the exited at the open and that was the high of the day. You can see these make up 11% of the trades. Adding Percent Slippage In my trading […]
AmiBroker Custom Backtester Course
[…]Science degree from Michigan State University, he spent more than two decades writing software for a variety of companies from small startups to multinational conglomerates like Hewlett-Packard. Mr. Radtke started trading stocks and options in 2007, and later added futures to the mix. In 2010 he was introduced to the concept of quantified trading by Larry Connors, and between 2012 and 2019 held various roles including researcher, author, and speaker for Connors Research. Today he runs his consulting business full time, working with dozens of clients from around the globe. Included in The Course If you have the AmiBroker basics […]
Mean Reversion Entry: At Open vs. Intraday Pullback vs Confirmation
[…]to this price. Also, if the stock continues to downtrend, the strategy will get into the trade. On confirmation After the setup, the strategy places a stop entry order above the closing price. Typically, this is just above the high of the setup day. I like using an x% above the closing price because it gives flexibility on how quickly to enter. The advantage of entering on confirmation is that if the stock continues to fall, the strategy will likely not enter it. The disadvantages are you give up some profit entering higher. Also, the actual entry price can be […]
What I am reading: 8/25/2014
[…]and is simple to make but difficult to master without understanding the interaction between components. Trend-following strategies are no different: anyone can create a simple strategy, few can master the nuances. Do Risk-Adjusted Returns Matter? The firm’s latest piece looks at smart beta and a host of factor investing data. One factor they looked into was the small cap anomaly. Past research has shown that small cap stocks have outperformed large cap stocks over longer time frames. Research Affiliates determined that this actually isn’t the case: The Remarkable Truth about 52-Week High Stocks On Wall Street, there are […]
StockCharts Technical Rank (SCTR) Indicator Analysis
[…]them. Spreadsheet Fill in the form below to get the spreadsheet with lots data. This includes the non-capped results, all the stats for above and below the MA200 and standard deviations. Final Thoughts Summary: In general StockCharts Technical Rank (SCTR) does show an ability to rank the stocks. Two issues, though. One, it is the reverse as stated on the StockCharts website. Two, the differnce from average is too small to be pratical. Will I be using SCTR in the future? No. Even though the rank under 10 often outperformed the average for most holds, it was not a big […]
Making new equity highs. It happens less than you think.
[…]is making new equity highs. Then, I wanted to compare the results to a new strategy I am working on for my trading. From previous experience, this number is a lot lower than people expect. Percent Trading Days Making New Equity Highs A trading strategy is at a previous equity high, a new equity high or in a drawdown. Our metric will be % trading days making new equity highs, % NEH. This is the number of days that the equity is at a new equity high divided by the number of days in our test. Assuming zero percent interest […]
Low Volatility Stocks: 20%+ CAGR Portfolio
[…]two ideas came from the following post: https://www.quantopian.com/posts/momentum-strategy-with-a-dynamic-universe. One will also noticed that I tried ranking both ways. For example, I looked at highest ADX21 and lowest ADX21. We do this for two reasons. First, one never knows which one will work. Two, if a particular method gives good results, it is good to see that the inverse of it gives poor results. This helps confirm the ranking method. Baseline We are looking for results that are 2-3x the CAR with half the drawdown. That is my baseline for longer term strategies. The Results Avg % Profit/Loss – stop method […]
Avoiding Volatile Trades
[…]improvement in the MDD. I would want more. But I did find it interesting that all the best results are for the standard deviation entry of below zero. This is saying we want the current HV to be under the median. Spreadsheet Fill in the form below to get the spreadsheet with lots of additional information. See the results of all variations from the optimization run. This includes top drawdowns, trade statistics and more. Final Thoughts From my experience, trend following strategies ranking by the lowest HV reduces drawdowns with minimal impact on returns. This method of filtering out […]
ConnorsRSI Strategy: Sensitivity Analysis
[…]to help guide us on what to expect from each variation. Definition This is my definition on Parameter Sensitivity. This is not the formal definition. Any strategy has various inputs that one may have optimized on. The idea is to vary a set of these inputs in “small” amounts to determine how much the strategy results change. Does changing a parameter slightly have a large change in the results? The focus should be on the statistics that one used to select the variations, which in my case were Compounded Annual Return (CAR) and Maximum Drawdown (MDD). What I do is […]