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[…]top decile. 5-Year Rolling Returns I was expecting the current 5-year return to be much higher compared to the historical values. The market is still above 90% but just so. Spreadsheet Fill in the form below to get the spreadsheet with the data and formulas. You can use this to check out different time lengths or percentiles. Final Thoughts This analysis is always and fun and interesting. But at the end of the day, this changes nothing in my trading. Yes, the market does appear to be high in its returns but this does not mean a top is […]
[…]5 Buy Enter the today at 1/2 of ATR(10) below previous close 20% of portfolio in each position Only enter orders so if they all fill will not have more than 5 open posiions Sell RSI(2) greater than 30, sell on next open Results Scaling Out Now we add the scaling out rule. On the original exit signal, we exit (25,50,75)% of the position. The rest of the position is exited when the close is below the 3 day low of lows. This exit is on the next open. We see a large drop in CAR with either no change […]
[…]market timing indicator that I read about it. It was showing some promise and the next step was to compare it to my benchmark. My benchmark is using the 200-day moving average. But an additional rule removes a lot of the whipsaws that can happen. After doing the comparison, the market timing indicator compared well. But then I realized I had not written a blog post about my additions. I touched on it in the Market Timing with a Canary, Gold, Copper, LQD, IEF and much more post. For me, the goal of using the 200-day MA to trade the […]
[…]platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant trading, Fill in for free […]
[…]five days later on the open Results Included are the results for the S&P 500 for two reasons. One, to see if they produced similar results to the top 1000 stocks. Two, more data is always more interesting. Exit # Exit Type Universe # of trades Avg. Profit/Loss % % Winners 1 Next Day Open Top 1000 412 0.77% 56% 2 RSI(2) > 70 Top 1000 412 1.29% 53% 3 Five Days Top 1000 412 1.36% 49% 1 Next Day Open S&P 500 121 0.66% 60% 2 RSI(2) > 70 S&P 500 121 4.27% 57% 3 Five Days S&P 500 […]
[…]Health of Stock Mean Reversion: Dead, Dying or Doing Just Fine generated good reader’s suggestions on other ways to check on mean reversion health. Let us see what these tests tell us. The Base Test Date Range: 1/1/1995 to 6/30/2015. Entry: Stock is part of the Russell 1000 Close > $1 RSI(2) < 5 Entry on Close Exit: RSI2 > 70 Exit on Close Bunching of Oversold Opportunities This idea is that even though the number of stocks selling of each years is about the same, they are occurring more on the same day as opposed to spread out […]
[…]I wanted to keep the rules simple. I tested various ways with the 200-day moving average. The reason for this is that some people only trade stocks above the 200, while I like to trade without. In general, this will have more volatility but better returns. Buy Rules Stock is a member of the Russell 3000 2-period RSI is less than 1 Close is greater than $3 21-day moving average of Close*Volume is greater than $1 million [Stock is above 200-day moving average, the stock is below 200-day-moving average, NA] Enter on next open Sell 2-period RSI is greater than […]
[…]the form below to get the spreadsheet with lots of additional information. It contains allocations for Buy and Hold from 0 to 100% in increments of 5. This includes top drawdowns, trade statistics and more. Final Thoughts Yes, I know that this is not some earth-shattering test. But these simple ideas are always fun to test because they are quick and easy to do. And sometimes, they surprise you. The surprise was that the 50/50 method captured most of the gains and had a higher Sharpe Ratio. Now the maximum drawdown went up by quite a bit compared to trend […]
[…]Both RSI and ROC ranking don’t do better than random. While the best runs of Closing Range are only 1.56 standard deviations away. Still not very good. Ranking from high to low Maybe ranking from high to low will improve the results. In the spreadsheet, I have shown these results. There is one run that has a CAR that is 2.44 standard deviations from the average. Can you guess which one? Spreadsheet Fill the form below to get the spreadsheet to see the results of using ranking from high to low and low to high, using a maximum of 5 […]
A reader recently suggested leaving the limit orders for a mean reversion trade on for a couple of days. Typically, these orders are good only for one day unless the stock sets up again. I did not think that this would help but as I always tell my consulting clients when they ask me if an idea will work or not, “I am always surprised but what works and what doesn’t, so I test everything and let the numbers decide.” My expectation would be higher exposure but will this lead to higher returns? The Concept In the typical mean reversion […]
