Test Ult 2
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What I am reading: 8/25/2014
[…]a simple strategy, few can master the nuances. Do Risk-Adjusted Returns Matter? The firm’s latest piece looks at smart beta and a host of factor investing data. One factor they looked into was the small cap anomaly. Past research has shown that small cap stocks have outperformed large cap stocks over longer time frames. Research Affiliates determined that this actually isn’t the case: The Remarkable Truth about 52-Week High Stocks On Wall Street, there are many highly publicized metrics that can trigger an emotional response in investors. The “52-week high” signal is a great example. It is a […]
External Strategy Rule Evaluation. Too many rules?
A common question I get is where do I find all my research ideas. My main source is Quantocracy. He does a great job of curating posts because the work is manually done. Then there the Better System Trader and Trend Following Radio podcasts. Usually from these sources I get a nugget of an idea to research or a simple strategy. Sometimes the post/podcast will recommend a book. From one of these sources came the recommendation of the book “Trade Like A Stock Market Wizard” by Mark Minervini. Fortunately for me, my local library carried it. The strategy he covers […]
Backtesting is Hard
Why don’t I make more frequent posts? The easy answer is backtesting is hard. A test has three parts to it. First, coming up with the idea. I have more ideas than I can test. I have a notebook full of ideas. The hard part here is picking one. Second, writing the code and running it. This takes me a couple of hours to a couple of days to do. Writing code is the fun and mostly easy part, though sometimes it can be insanely hard. Third, is verifying the result are correct. It is the last step that can […]
AmiBroker Adaptive Trading Strategies Course Old
[…]with rules that change depending on the market regime. This course will focus on developing adaptive trading strategies using AmiBroker, leveraging the Custom Backtest (CBT) interface introduced in the CBT Intensive Course. At the completion of this course, you can:Define your own Market RegimesConsider how trade setup, entry, and exit are assigned to a regimeSummarize metrics by regimeSelect the best parameters for each regimeModify your AFL to use adaptive (regime-specific) parametersCompare the adaptive strategy performance to a baselin Learn at your own pace and on your own time All videos and class materials are downloadableWatch them on your schedule.Set your […]
Strategy Up/Down Capture
[…]at the link used monthly timeframe. Since my trading is much more frequent, I decided to do the analysis on the daily timeframe. This test will cover from 1/1/2006 to 7/31/2016. Up Capture To calculate Up Capture one takes the percent return of your strategy divided by the percent return of the SPY for each day the SPY is up. Then one averages all these numbers. For example if the SPY is up 1% today and your strategy returned 1.2%, then the Up Capture for the day is 120%. Down Capture To calculate Down Capture one takes the percent return […]
VIXY & SVXY Strategies
[…]been in a strong uptrend during most of this period. Because of this, most people use synthetic data for before their inception to test the bear market scenarios. I will be using the data from Six Figure Investing which has synthetic data back to 2005 for both. A comparison of the daily return of the synthetic vs real data from 2011 to 2014 has a correlation of 0.999+. In the next post, I will investigate if this is good enough. One big issue with the synthetic data is that we only get a closing price. I am not a fan […]
Simple Ideas for a Mean Reversion Strategy with Good Results
[…]exit rule of ‘an up close.’ That rules brings back memories while I was working for Connors Research. The first time I heard about this rule and tested. I thought there is no way this rule could work. I figured it would destroy a perfectly good strategy. I was flabbergasted that it worked and produced good results. This is why I say that one should test ideas before throwing them out. You never know what will work. The Tested Rules I made the following changes to original rules. Tested from 1/1/2004 to 6/30/2014 Allow max of 10 positions at 10% […]
Trading the Equity Curve – More Ideas
[…]testing. I cannot count how often I thought an idea would help the results only to see them dramatically hurt them. Remember test everything! I have been thinking about other methods to use to trade the curve. I also wondered maybe it is the strategies I tested against that caused less than stellar results. I am working on a SP500 weekly mean reversions strategy with an average hold of three months. Maybe new methods of trading the curve or the different strategy will give better results. The Strategy No rules will be given. Here is the general concept. Buy S&P500 […]
Adding candlesticks to mean reversion setup
[…]at all trades that trigger. This will not be a portfolio test because this is how the initial research in the article was done. The method of testing all trades is quite common but I rarely do it this way. It is not my preferred way of testing an idea like this which I will cover on why in the next blog post. Setup Rules Stock is a member or was a member of the Russell 3000 The Dollar Volume of the stock is greater than $500,000 Close is above $1 Close is above the 200-day moving average The 2-period […]