[…]stats are good and over-fit tests pass. The Strategy First, I needed to replicate the results and test different parameters. Buy Rules ETF is one of the following SPDR ETFs: XLB, XLE, XLF, XLI, XLK, XLP, XLU XLV, XLY. It is the last trading day of the month Rank all the ETFs by their 1-month return. With the best return having a value of 1. Buy ETFs ranked 4, 5, 6 in equal amounts on the next open Sell Rules Sell all previous month’s ETFs. Very simple and mostly standard sector momentum strategy. But why buy 4,5,6? Here are some […]
[…]divided by the 63-day moving average of the Close times Volume (CV10/63). I had not tried this before and wanted to see how well it would work. First Steps I decided to follow the same path as the previous post. First testing on a very simple mean reversion strategy and then took what I learned from that and applied it to my own mean reversion strategy that I am trading. These results produced nothing interesting. On reflection, I applied CV10/63 to the mean reversion strategy I trade from the beginning of the analysis. First, I would generate data gathered from […]
[…]on the results. I will test 2 universes for this post but if you have your own idea of a universe to test, add it to the comments below. If I get enough good universes, I will do another post with those results. US Sector Universe: XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY Asset Class Universe: SPY, EFA, IEF, GLD, ICF Buy Rules Test date range from 1/1/2007 to 6/30/2022. Last day of the trading month Calculate FRV for each ETF Of the top (1,2,3) ETFs, only enter those trading above their 200-day moving average Enter on next […]
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[…]I had a ton of fun answering lots of great questions. See the bottom of the post for links to download the mp3 files of the webinars. Some questions, I answered are: What types of strategies are you trading? How long a period of underperformance you would tolerate? How do we know that we have a robust system? Walkforward vs Monte Carlo vs SPR vs other? Why do you not manage outside money? Am I mistaken that you don’t prefer trading trend following or momentum based systems/strategies. Can you explain why? How do you come up with the underlying idea […]
[…]S&P500 Index price-based models are used as input along with bonds and other markets related to the stock market. These are combined to give a rating. The Market Barometer is predicting more long-term behavior in the market. Statistics on each rating Statistics are based on data from 1/1/2004 to 12/31/2021. 21-Day return The black line is the average 21-day return of the SPY which is 0.93%. Each bar is the average 21-day return of the rating. 63-Day return The black line is the average 63-day return of the SPY which is 2.77%. Each bar is the average 63-day return […]
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While reading the January 2023 issue of Technical Analysis of Stocks & Commodities, I came across an article about Efficiency Ratio (ER) by Perry Kaufman. In the article, he discusses using ER to decide when to trade mean reversion strategy vs a trend following one. My curiosity on this was could I use the ER to filter trades in my mean reversion strategies. Efficiency Ratio ER is calculated as the absolute total change in price over N-days divided by the sum of absolute daily price change over the N-days. This gives a value of between 0 and 1. Then multiply […]
[…]actual price a stock traded on a particular day before splits, dividends, and one-time dividends. For example, you may have a rule that you do not trade stocks under $10. If you ran a test back to 1996, after splits and dividend adjustment MSFT price is around $7. MSFT was actually trading at around $150.One would skip this stock if they did not have as-traded pricing. (Click on image for larger version) I had never run this test before and these results surprised me. Overall there is no significant difference in using as-traded price vs. adjusted price. The following […]
[…]can find the code for the indicator at Predictive Indicators. I will also provide AFL code to download. Fill in the form below. I tested several lengths because I did not know what would work best. I went down to as low as 2 because that works well for RSI. Entry When ESI(2,3,4,5,10,15,20) is less than (10,15,20,25,30), enter on next open. Buy 11.1% of the ETF Exit When ESI(same length as entry) is greater than (60,65,70,75,80,85,90), exit on next open RSI Entry When 2 period RSI is less than (10,15,20,25,30), enter on next open. Buy 11.1% of the ETF Exit […]
