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[…]at a limit price today at 1/2 of ATR(10) below previous close 5% of portfolio in each position Only enter orders so if they all fill will not have over 8 open positions Sell 2 period RSI greater than 40 Exit on next open. Trade Summary I took the trade list and created a pivot table in Excel. From this we can see after being in the trade 6 bars, on average the trade will be a loser. Obviously, we should get out after 6 bars, right? Six bar exit Exiting after 6 bars has the same CAR with a […]
[…]which you can see in the spreadsheet. Idea 2: Rank by N day return A very simple idea of ranking by only one variable. Sometimes the simplest ideas produce the best results. Rules Rank Funds from high to low using the N day return. If the return during this period does not exceed the safe ETF (IEF, SHY, TLT), invest in the safe ETF. Buy at the close at beginning of the month. Results 2 A much simpler idea, but the results are not as good as the first one. CAR and MDD both get worse. The only pattern seems […]
[…]is there fewer stocks becoming oversold? The blue line is the percent of stocks with RSI2 < 5 compared to all the stock for a given year. This has hovered between 4.5% in 2013 and 8.2% in 2008. The black line is a liner regression of the data. We can see that the trend has been down since 1995. The green line is the average of 6.7%. Stocks are becoming less oversold. Average % profit/loss What has been happening to the average % profit/loss over the years? The blue line is the average % profit/loss of all the trades with […]
[…]up, then enter a limit order for the next day at (.5, 1.0, 1.5, 2.0)% below the close. Order good for one day only. Only place enough orders so if they are all filled you are not in more than 7 positions If have multiple set ups, then rank from high to low by the 100 day historical volatility. We enter on additional intraday weakness. Exit Rules ConnorsRSI is greater than (50, 55, 65, 70) 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 […]
[…]into 20 buckets of 5 RSI points each. Most people expect the low and high RSI values to be less common. Which is true for all lengths greater than 2. But for 2 day, you get the RSI smile, the blue line. Down Days Another interesting characteristic of RSI of any length. If the RSI has been down for N days in a row, that means the stock has closed down for N days in a row. I remember a test I did in 2004 where one rule was that the RSI2 had closed down 3 days in a row. […]
[…]on trading the SPX and depending on the current historical volatility one would either use a 12-month or a 1-month lookback to decide whether to enter or exit the trade. I had tried similar ideas before but not this one. Now what is here is not a final strategy to trade, as stated in the original article, but still an interesting concept. I wanted to know how robust it is and test some variations. Original Rules As usual, the first step is to replicate the results. One problem I have is they included dividends. I do not have total return […]
[…]a buy rule that the stock must be above its 200 day moving average. Same pattern but notice there are only 75 trades for low SCTR. This just does not happen often. But when it does, these are great trades. They produce over 2.5x times the profit. Market Above 200 Day Moving Average From our base test, let’s add the rule that the SP500 index is above its MA200. No surprise here to see that high SCTR results improve on both CAR and MDD. I expect that from adding the market timing. First Thoughts I am happier to see that […]
[…]IVS, I will be focusing on Maximum Drawdown, Ulcer Index and Sharpe Ratio. But keeping an eye on Compounded Annual Growth Rate. We will be comparing results to buy and hold on the QQQ & SPY, both cap-weighted indexes. The reason for this choice versus testing equal weight again was that I wanted to see if we could beat the ETF. Maybe create a better ETF? Results – Nasdaq100 – Weekly – HV I started with the Nasdaq 100 and resizing weekly because I was afraid of running times. Green cells are the best values. Not a good start. […]
[…]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 […]
[…]return, best mid-term-return with the least volatility. The Ranking Formula Step1 Calculate the 3-month return for each ETF Calculate the 20-day return for each ETF Calculate the 20-day historical volatility for each ETF Step2 Rank ETFs from Step 1A from high to low. Give the top-ranked ETF a value of 1. The next one is a value of 2, etc. and the last one a value of N. N being the number of ETFs in the trading universe. Rank ETFs from Step 1B from high to low. Give the top-ranked ETF a value of 1. The next one is a […]
