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The importance of testing different exits

[…]me, I will follow his wishes and not share it. Given we could not remember the exit, I was forced to test several common exits I used back then. Testing dates are from 1/1/2007 to 12/31/2019. Why did I not include 2020? They skewed the results too much. As you will see in the next post. The Exits These are the exits I tested. 2-period RSI greater than 30 2-period RSI greater than 50 2-period RSI greater than 70 ConnorsRSI greater than 50 ConnorsRSI greater than 70 Close above the 50-day moving average The Results These results really surprised me. […]

DTAYS Weekly Breakout Strategy With Time Stops

[…]the Russell 3000. This is a change from the original post rules. SPY closes above its 100 day MA Stops Stops are evaluated at the close. Maximum loss stop of (8, 12)% Trailing ATR(100)*(3, 5) stop based on highest close since in position If after (NA, 2, 4, 6, 8) weeks, exit the stock if it is under the entry price. This rule is only evaluated at the end of the week. This is our new rule.   Results without the N Week stop rule The highlighted row is the best variation from the original post.   Results – With […]
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My quest to find the best performing S&P 500 stocks after several up days

[…]other years?  I have some great ideas that I will explore in a future post.  In the meantime, my search for the ‘Grail’ continues.   Spreadsheet of Results If you’re interested in a more comprehensive set of my testing results, enter your information below, and I will send you a link to the spreadsheet which I spent several hours creating.  The spreadsheet includes test results at different N day highs, above & below the MA200, and more stats than shown. Backtesting platform used: AmiBroker. Data provider:Norgate Data (referral […]
Read more » My quest to find the best performing S&P 500 stocks after several up days

Missing the best or worst market days

[…]SP 500 Total Return index data from 1/1/1996 to 9/30/2018. Entry and exit are done at the close. For example, if tomorrow will be a best day, then the test exits at today’s close and enter on the next day’s close. The argument for why you should not try and time the market Here is what happens when you miss the best days. As expected the returns get worse and worse as you miss more days. Missing good days is bad.   The argument for why you should try and time the market Here is what happens when you miss […]

Backtesting is Hard

  • Relevance: 18%
  • Type: Post
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  • Published date: April 21, 2014
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[…]a date range that makes the test look good, and many more. Step One: The Idea With lots of ideas to test, how does one pick one? This is a balance between how long it will take to code and verify vs how likely the results will be interesting. For the blog, I see what others have been writing about or what posts produced interesting comments and ideas. For my personal work, I am looking for new and different ideas. Step Two: The Code Having spent the last 15 years writing code in AmiBroker, with nine of those years it […]

Optimization Mean Reversion

[…]time I saw this, is that your optimization runs are often mean reverting. What do I mean by this? For example, you have a 100 run optimization from 2000 to 2012. Now you sort by your metric, say Compound Annual Return. Now do the same optimization from 2013 to 2015. You will notice that your top runs from the first period moving toward the middle of the second period. And your bottom runs of the first period moving to the middle in the second period. Let us look at some tests and data. The Test Period 1 from 1/1/2000 to […]

Using recent returns for Mean Reversion

[…]than 66% of the returns over the last 30 days. Since we are looking for a sell off and I want to compare to over the last year, we want PercentRank over the last 252 days of the ROC(3) to be less than 15. Clear as mud? If this does not make sense, ask questions in the comments below. The Strategy Setup Stock is member of the Russell 1000 index The price of the stock is greater than $1. Want to avoid very low priced stocks The 21 day moving average of Close time Volume is greater than $10 million. […]

SPY TLT Rotation

[…]of the strategy and the bias introduced by when you reevaluate. Buy and Hold We need a baseline to compare against. Here are the buy and hold numbers for TLT and SPY I did not realize how strong the bull market in TLT has been until I saw these numbers. Very close to same results of the SPY with half the drawdown. SPY/TLT All in on the Best This is the simplest idea of them all. I figured this would be a good target to beat. Buy Rule Each month you compare the N month return of each ETF and […]