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[…]and oversold performance has changed since 1957. I was surprised to see that mean reversion on the index has changed little since the mid-2000s, although year-to-year performance has its ups and downs An important thing to remember is these results on the index do not necessarily translate to stocks. This was the easier post to do the research for. About a year ago I wrote Mean Reversion Check Up 2022 which looks at this issue using stock data. I commented then about edges getting smaller but both the long and short mean reversion strategies I trade performed well in 2023. […]
[…]trades exit by 7-10 days, this tends to be a good value to use. This is one of my favorite non-standard exits to use. Even though this will reduce returns slightly, the psychological benefit of not being in a trade that goes down day after day for a several weeks is worth it for me. If you have not tried this type of exit before, I highly recommend it. For my strategies, I typically will use an indicator exit and a bar exit combined. Even though, I have not had success with trailing stops, scaling out and profit targets, if […]
[…]periods. Results Not a great start. I could not believe how bad the results were. The correlations are all above .50. On to the next idea. Rotation with trend filter and backup ETF Dual Momentum has the concept of when an ETF does not pass some filter, instead of investing in that ETF you invest in some alternative ETF. This ETF could be SHY (iShares 1-3 Year Treasury Bond) or IEF (7-10 Year Treasury Bond). New Rotation Rules At the end of the month, rank the ETFs from high to low of their (6,12) month returns Buy the top (1,2) […]
[…]I felt comfortable. To do some of the testing I wanted, I could not use AmiBroker’s built in walk-forward tester but had to write the code myself. My confidence that the code is right is high but not as high as in other posts. So, take these results with an extra grain of salt. One aspect I liked from UIS, is the following from the post: My algorithm uses the modified Sharpe formula Sharpe = rd/(sd^f) with f=volatility factor. The f factor allows me to change the importance of volatility. If f=0, then sd^0=1 and the ranking algorithm will choose […]
[…]Annual Rate First, let’s compare the average return for all the days to the end-of-month (EOM) value. CAR: Average vs End-of-Month For most strategies, the average value is smaller except for Copper/Gold and LQD/IEF. The best EOM strategy, Canary, drops to 5th place. Not a good sign for Canary. Is that the canary in the coal mine for the Canary Method? Highest CAR minus the Lowest CAR Next, we look at the Highest CAR minus the Lowest CAR to see how big the range is. No surprise seeing Jays Coppock and HiLo with the smallest range since they have the […]
[…]for each one and invest in the one with the highest momentum. The formula is Momentum = 12 times 1-month return plus 4 times 3-month return plus 2 times 6-month return plus 12-month return. Then divide by 4. The baskets I will be testing are IEF, TLT SHY, IEF, TLT SHY, IEI, IEF, TLH, TLT Test Parameters For the details for each method read the previous posts mentioned at the top of this post. The test range is from 2008 to 2018. The start date differs from the previous posts because some of the ETFs did not trade until 2007. […]
[…]– The original test Under $50 Between $50 and $100 Over $100 Yes, these does not solve the $19-vs-$99 issue but I wanted to see if it made any difference. Under $50 Results These are worse both for the CAR & MDD. Between $50 & $100 Results Again nothing here. Over $100 Results Wow this took me back. The CAR is over 2 standard deviations from the random rank CAR. But there is little difference between the two ranking methods. Now if you are smarter than I am, you probably figured this out already. It took me some time to […]
[…]higher ranks, so a negative weight favors higher returns. If only one of the weights is non-zero, then we are scoring only on the return from the related historical period. For example, weights of -20, -40, & 40 favor higher returns for 1 and 3 months, and lower returns for 6 months. Weights of 0, -100, & 0, favor ETFs with higher returns for the previous 3 months, regardless of 1 and 6 month momentum. We aren’t attempting here to design the best possible portfolio, but to generate a credible system that allows us to analyze the effects of different […]
[…]close stock has a 15% or more loss If on the close stock has a 25% or more gain Have been in position for 60 trading days Exit on next open When evaluating an indicator, I normally do not test a portfolio. Instead, I buy equal dollar amounts because the stats I care most about are average %p/l and % correct and I want to get all possible trades. Here are the results of this basic strategy. Buckets Now for those 6360 trades, I determine that VPN(30) on the day of setup. I use a length of 30 because […]
[…]platform used: AmiBroker. Data provider:Norgate Data (referral link) Good Quant Trading, Fill in for free […]
