[…]a short strategy that one cannot easily take into account when back testing. They are: Are shares available to borrow? Borrow interest Losses grow Overnight gaps – the Black Swan Are shares available to borrow? This is a constant problem. I use InteractiveBrokers and they are very good about having shares to borrow but there are still times when I cannot. Even with highly liquid stocks, one may not be able to borrow shares. In 2008, I could not borrow GM. Missed out on a good trade there. One could add a random possibility of shares not being available in […]
[…]of suggestions from readers on other tests to try. We will jump right in and look at what these research suggestions produced. Test Rules Testing Universe: Top 1,000 stocks by dollar-volume with closing price greater than $1. No ETFs included. Date Range: 1/1/2001 to 8/30/2013 Entry: RSI(2) < 5 Entry on Close Exit: RSI2 > 70 Exit on Close VIX Ranges Rob D. suggested looking at the oversold stock performance in different VIX bands. From 2001 to 2013, the daily VIX values are divided into five equal sized buckets. From this, we have five ranges to compare […]
[…]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 SPY is to get about the same CAR but with a significant reduction in MDD. Rules Test […]
[…]results on this test. 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. Results included different lookback periods (2 to 12) and investing (50,75,100) on a signal but never going on margin. Final Thoughts One thing to remember of these results is the small number of trades. I was expecting much better results with this idea. I thought that there would be more beating buy and hold. From my previous post, trading just momentum beat buy […]
[…]Get immediate free access to the first class with no credit card needed. Eight classes of professional instruction plus the two bonuses for $495. I will contact you to make sure your AmiBroker and data are set up and ready for the course. If you like the first class, then you will be invoiced. Thank you, Cesar […]
[…]Get immediate free access to the first class with no credit card needed. Eight classes of professional instruction plus the two bonuses for $495. I will contact you to make sure your AmiBroker and data are set up and ready for the course. If you like the first class, then you will be invoiced. Thank you, Cesar […]
In my last two posts, Market Timing with a Canary, Gold, Copper, LQD, IEF and much more and Day of Month and Market Timing, I assumed that we earned no interest in cash. Most methods did a good job of telling us when to be in the SPY and when to be in cash. How much could we boost returns by investing the cash in a bond fund? Which Bond ETFs? I tested these ETFs in what I would consider increasing risk profile SHY – iShares 1-3 Year Treasury Bond ETF IEI – iShares 3-7 Year Treasury Bond ETF AGG […]
Today we have a guest post from David Weilmuenster who I worked with while at Connors Research. A widely applied technique for scoring assets in rotational systems is to rank those assets by their price momentum, or return, over a given historical window and to rotate into the assets with higher momentum. This approach seeks to capitalize on the well-demonstrated tendency for price momentum to persist. But, it begs some questions: “What is an appropriate historical period for measuring price momentum?” Clearly, the momentum of a given asset can rank quite differently compared to the tradable universe over 1 month, […]
[…]signals within a range. Note: I double the value for 2015 since it was only a half a year of data. The top blue line represents how many trading days each year there were between 1 and 50 entry signals. This line is up. The red line which is the number of days between 51 and 100 signals is clearly down. All the other lines are trendless. One way to read this is that we are getting a little more bunching. What are your thoughts? Put them in the comments below. Mean Reversion is Correlating with the Market Are […]
[…]strategy but the edges seem to get smaller. Over the year I have investigated this. I was asked again recently and wanted to investigate again. Here are the results of my 2022 investigation. The Rules Test date range 1/1/2000 to 9/30/2022. 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 […]
