[…]I will run the same test but buy the 10 stocks that have performed the best of the calendar year. 1-Month Results I did not expect these results to be that strong. Clearly buying the worst stocks of the year is much better. Looking at the yearly results, of the 14 years buying worst only did better 8 of the times. So, it is not a consistent winning strategy. What about longer holds? Does this advantage disappear? S&P500 and Nth-Month Exit Looking at the S&P500 and exiting on the first of the month. We see the pattern continues to hold […]
[…]to 12/12/2014. Four years should generate enough trades to see how running a strategy on each compares. A downside of synthetic data is that we only have closing prices. Because of this, the strategies will be tested entering/exiting on the close of the signal day with the rules only using the closing price. First Strategy The first strategy tested is the one from VXX & XIV Strategies. See that post for the rules. An interesting point is that the strategy uses the SPY and VIX to trigger signals. Using the values that I focused on the earlier post, we get […]
[…]stocks and ETFs, and options, both on the long side and short sides. My primary methods are reversion-to-the-mean and rotational. These strategies fit my personality and allow me to stick to the strategies even when things are not going well. Holy Grail Strategy Every researcher has a Holy Grail strategy they pursue. Mine is the breakout strategy. I would love to complement the reversion-to-the-mean strategies I trade. Unexpected Results The unexpected result is my favorite thing about research. I have added filters to a strategy that I just knew that it would make it better, and then it makes it […]
[…]posts on rotational strategies: Monthly S&P500 Stock Rotation Strategy and S&P500 Monthly Rotation-Readers’ Ideas Backtesting platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant trading, Fill in for free […]
[…]ETF, made a closing high of 398. About three months later it closed at 289 for 27% loss. A very common thing I hear from traders is that they “don’t trade biotechnology or pharmaceutical stocks.” I completely understand. These stocks tend to be very volatile and news driven. But does removing these stocks really reduce your drawdowns? What happens to your Compounded Growth Rate? Time to see what the research shows us. The data I am using Norgate Data which has Industry Classification Benchmark (ICB) for most stocks. One bias to this test is that the classification is only for […]
[…]you through the process of self-education.But there’s another important, sometimes unappreciated component: shortening the path to success by connecting to other like-minded traders.You must learn from those who have already completed the mazes you’re interested in running. If you don’t, you’re wasting a lot of time and effort.The trading journey can be lonely and difficult to make by yourself.I’ve made that journey easier for you with the Alvarez Club. Instance 1 Get access to everything in the Alvarez Club CLICK TO JOIN THE BETA The Private CommunityOnce you’re a member, you’ll get access to a community of smart, driven traders on a dedicated member forum, […]
[…]with a Max DD of 21.02%. Surprisingly good results from such simple rules. The standard deviation for CAR and MDD are much smaller than expected. S&P 500 Results The results are not as good as using the Russell 1000 but still good. Probably because of the smaller universe which leads to lower exposure. Russell 3000 Results Having a larger universe, gives us more exposure which gives higher CAR. Spreadsheet If you’re interested in a spreadsheet of the data used to generate these tables, enter your information below, and I will send you a link to the spreadsheet. The spreadsheet includes […]
[…]lower the better. Sharpe Ratio (SR): The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. The higher the better. When comparing two methods, each metric will be compared and if it exceeds by 15% then it gets one point. Why 15%? At 10% difference, I consider this noise. At 20%, I believe it is better. So I split the difference. If the method gets 3 or more points, I will consider it better. SPY Results Here we have three of the metrics beat buy and hold. Even the […]
[…]on reading along with the quant mashup Quantocracy.. The article is a synopsis of research done comparing momentum vs. 52-week highs as ranking filters for a rotation strategy. A new idea I had not tried. What a great way to start the year, testing a new idea. Even though often they do not work out, one needs to be exploring all the time. In the paper, they used 6 month holds which is much longer than I want to hold any position. I dropped the holds to one month and see if that would give me interesting numbers or not. […]
[…]dividends for 16 years or more Ranking formula = 1000*(# of years of rising dividends) +(6-month return). This gives us preference to stocks with the longest dividend raising history with the tie breaker being the 6 month return. Buy on the next open Sell Rules If stock is removed from the index during the year, sell the next day At end of year sell all positions Sell on the next open Base Results My data provider has the Aristocrats total return index, SPDAUDTR, which I will compare against. Well this start does not look too promising. On all metrics, my […]
