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[…]a stock, I know the edge is for the stock to go up. I know that does not mean every stock is a guaranteed winner. Or that my losses will be small. But every now and then you get what I call a broken arrow. I was in Expedia (EXPE) as it triggered in my SP500 rotation system. It was in a nice up trend, everything looking great. And then …earnings happened. EXPE closed down that day 27%…ouch. That is what I call a Broken Arrow. Make sure you have a plan before you enter any trade, and stick […]
Continuing on from our previous posts and research, Should one trade high or low volatility stocks? , Stops and trading high vs low volatility stocks, and Low Volatility Stocks and Profit Targets, we are now testing how these results translate to a portfolio. I pick one variation from each of the tables from the Low Volatility Stocks and Profit Targets. From that one a variation we create a portfolio with a maximum of 10 stocks. General Rules The test range is from 1/1/2004 to 12/31/2013 using Norgate Data. The universe is the Russell 3000 index as it is existed. Buy […]
[…]trade. This post will cover a ConnorsRSI strategy on S&P500 stocks. We will use a wide range of parameters to give us lots of choices to be used in the next post. In that next post, I will show how I take the results and narrow them down to one potential variation to trade. And then the final post, I will cover parameter sensitivity to help determine if the results are likely overfitted or not. 3/27/2017 CORRECTION: When I originally posted this, the results shown in the tables were not for the rules shown below. The table results are now […]
[…]set ups, then rank from high to low by the 100 day historical volatility. We enter on additional intraday weakness. Exit Rules RSI is greater than 50 or after 10 trading days Exit on next open Simple mean reversion exit of waiting for the bounce. No stops. You may have also noticed there is no market timing rule. Got a guess on which rule I changed? The Results These numbers are really disappointing. I was expecting to have a large drawdown but the CAR was much lower than I expected. Also, the returns in 2016 and 2017 are bad. The […]
[…]is from 1970 to 2021 using $SPX (S&P 500 Index) and @GC (Gold – London PM Fix) from Norgate Data. A couple of issues with these selections. For $SPX, this does not include dividends. The symbol $SPXTR does include dividends but that data does not start until 1989. For @GC, I looked at &GC (Gold Continuous Contract) but does not start until 1979. I could have gotten fancy and switched between symbols as the data became available. Or tried to source the data externally but this is a proof of concept test. For me, using these two symbols was good […]
I was at a recent talk of the Northwest Traders and Technical Analysts group where they presented a VXX strategy with some huge return and drawdown numbers. Trading this would be very difficult. This got me thinking. If I had a strategy like this, how could I tame the numbers? Through the years, I have seen various ideas about how to do this but never looked into it. Searching the web one can find various volatility ETF strategies with very high returns and high drawdowns. I found one that looked interesting and had lots of potential for optimization and improvement. […]
Recently for my own trading, I have been researching rotational strategies on both the weekly and monthly timeframes. The most common indicator that I use for ranking stocks is Rate of Change (ROC) of the closing price. I read about using Rate of Change on the EMA to rank stocks. I liked a small twist on the idea and wanted to know how it compared to what I am using. Then this led me down another path of trying other ranking methods with an interesting result using historical volatility (HV) that I did not expect. Base Rules Backtest from 1/1/2007-12/31/2020. […]
I just got back from a long vacation in Iceland (highly recommend visiting). As usual, when people discover what I do, they ask me about the markets. Several people were worried that the markets are too high. Then I read that the 20-year return of the SPX from 2001 to 2020 was way below the average 20-year return. My thinking was how could the massive run since 2009 not have gotten us above the average. As usual, I had to test it. Timeframe Norgate data has the $SPX back to 1930. Using that as my starting point, I used the […]
[…]In S&P 500 Is A Random Pattern. As always, I take a “trust but verify” approach to other’s research and wanted to do some additional analysis. My S&P500 research will be starting from 1986. Looking at all nine day periods with a negative return we get the following stats. There have been 3,189 times that the index has been down over nine days. The average return has been -2.30%. The current period is worse than average but the standard deviation is 2.51, which means we are not even one standard deviation away, so not that bad. Here we have the […]
[…]trade. I do not expect this strategy to perform as well as my shorter term strategies but work as a complement to them Low volatility or high volatility? Short term trading strategies tend to do best when they focus on high volatility stocks. Will this be true for a longer hold strategy? The test We will start with a basic test. In future posts, we will expand and refine on the rules. Date range from 1/1/2004 to 12/31/2013. Buy Rules Stock has 21 day moving average dollar-volume greater than (10,20) million over the last 3 months Close is greater than […]
