[…]the other 90%, you have it in something very safe like cash. Then at predetermined periods, you rebalance to be back to 10/90 allocation. These rebalance periods can be monthly, quarterly, semi-annual and yearly. What rebalance period you choose and the when can have a huge impact on your results. Buy and Hold What are the results of simply doing buy and hold on XIV since inception? You would have lost 59% of your money. All test results are through 2/8/2018. I wanted to see the results from 2013 because this is about the time I really wanted to trade […]
In my last post I showed research on how optimization results can be mean reverting. Sometimes, my research keeps getting side tracked as I think of random ideas to look at. In this post, we look at the random walk my research took starting from my mean reverting optimization research. I will show how changing the start date can have a big change in the results, correlation of 1990’s to now, and random data and how it correlates. Start Date One thing as researchers we sometimes forget is how the date range of our test can change our interpretation. If […]
Welcome to the Beta application page. I will be taking a limited number of beta users for the initial sign up. Expectations as a Beta user Provide feedback on what you like and do not like Make suggestions on what you would like to see added Participate in the user forums Try and attend webinars Cost While the program is in beta, the cost is free. Once live the expected costs is between $200 and $800 per year. (SHOULD I REMOVE THE LAST LINE?) Beta […]
While talking to a trader, he mentioned an article in the December 2021 issue of Technical Analysis of Stocks & Commodities about Benford’s Law. I had read the same article and was wondering how it could be applied to my trading. Benford’s Law is often used to look for fraud. I am sure I am not committing fraud on myself. As we talked, we wondered whether this could help in selecting which strategy to trade from an optimization? Benford’s Law Summary According to Benford’s Law, in a large set of numbers the significant digit is not evenly distributed but the […]
[…](bad) his chosen backtesting solution is when the strategy is traded live. However I am always amazed how little some traders pay attention to how closely their backtest match their live results.” Torturing Historical Market Data – The first sentence is so true. “There’s no such thing as right or wrong data, just better or worse. Stock market data looks spotless when you just see the performance numbers, but looks can be deceiving.” Screw It, I’m All In, Baby – A little chart humor but so true. Improving the Simple ETF Rotational Trading Model – “What I love about trading […]
[…]are always fun tests to do when the market goes crazy but usually they don’t provide enough data points to act upon. All tests are done back to 2001. SPX & VIX When was the last time the SPX had RSI(2) < 2 and two day return < -5% and the VIX had RSI > 99. This has only happened on the following dates. Date 8/21/2015 10/10/2008 10/9/2008 Not a common occurence. VIX Move The VIX has exploded over the last week. Here are couple of interesting tidbits. These are the highest 5 day returns of the VIX since 2001. […]
[…]Index) in my trading. I have written lots of blog posts that use it and I often use it in my personal strategies. One thing I like to do with indicators that I use frequently is a thorough analysis of them. Often, I find characteristics that I did not expect. Do you know about the RSI2 smile? Data The universe analyzed. Dates: 1/1/2007 to 12/31/2017 Russell 3000 (includes delisted stocks and as index existed) 21-day moving average of dollar volume greater than $1 million As traded price greater than $1 Trading for more than 100 days On every day I […]
[…]free access to the first part of the first class with no credit card needed. Four hours of professional instruction plus bonuses for $329. If you like the first part, email me and I will send you a PayPal invoice. Please note: this is an advanced course! You should already have familiarity with the AFL language and flow control structures (if, iif, for), understand array variables and operations, and know how to run standard back tests, optimizations, and explorations. If you don’t yet have those skills, please consider taking the AmiBroker and Backtesting 101 and/or Intermediate AmiBroker and Backtesting 201 […]
[…]free access to the first part of the first class with no credit card needed. Four hours of professional instruction plus bonuses for $349. If you like the first part, email me and I will send you a PayPal invoice. Please note: this is an advanced course! You should already have familiarity with the AFL language and flow control structures (if, iif, for), understand array variables and operations, and know how to run standard back tests, optimizations, and explorations. If you don’t yet have those skills, please consider taking the AmiBroker and Backtesting 101 and/or Intermediate AmiBroker and Backtesting 201 […]
[…]the top 5 results by CAR. Next is the top 5 by Sharpe Ratio. This is what we will be comparing against. For details on the above ranking methods, see the original post Closing Price This was the most popular suggestion. Either trade the highest price or the lowest price. I used Norgate’s original price function which gives the price as traded before splits and dividends. As in a previous post on using price, The Simplest Momentum Indicator, the highest worked better. As simple as this is, it does not make it into the top 5 for CAR. But notice […]
