[…]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 of the rating. Percent Time The percentage of time spent in each rating. Yearly […]
[…]How will exiting losing trades after X weeks work? Maybe the strategy is freeing up cash in non-performing trades to get into better trades. Time to see what the numbers tell us. For this test I am making a slight change from the original test. I am testing on the Russell 3000 universe. Other than that the rules are the same as the original post. Rules When I tested several parameters, I bolded, italicized and underlined the parameter that DTAYS uses. Testing timeframe 1/1/2004 to 6/30/2014. Maximum number of open positions (10, 20). When have multiple signals, they are ranked […]
[…]is below the (2,5,10,15,20) day low of lows, then exit on next open Results The surprises keep on coming. The CAR is the highest of all the tests but then so is the MDD. I was expecting poor performance on this test. Again the low % winners would make this hard to trade. Look at how slowly the CAR drops that is a good sign. I must investigate this more. Trend Resumption, N-Day Exit This is the test from 20 years ago. Entry If previous bar is a set up and today the high is greater than previous day’s high, […]
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[…]results considering no optimizing has been done. Surely a max loss stop will help. We will focus on Compounded Annual Return(CAR), Maximum Drawdown (MDD), the average of the 5 worst drawdowns and the average % p/l of the worst 50 trades (Avg % loss 50 worst). Percent Max Loss Stop The first test is using a simple percent max loss stop. These tests generated a lot of data which you can get in the spreadsheet. On the far left we have the no stop case. Using no stop produces the best CAR of 14.1. The worst CAR is 12.0 […]
[…]At Connors Research we use Individual Trade Quality, ITQ, when we were comparing results of non-portfolio tests, such as these tests. The simple way to understand ITQ is it analogous to Sharpe Ratio in a portfolio test. To get more details on ITQ see How to Measure the Individual Trade Quality of Your Strategy. Connors Research has adopted a measure of risk-adjusted return per trade which uses concepts similar to those incorporated in the Sharpe Ratio, but translated to individual trades. We call this measure “Individual Trade Quality”, or ITQ. So, with other considerations being roughly equivalent, the trader would […]
[…]Ranking When testing a new indicator, CV10/63, for ranking of signals, I will test it both high-to-low and low-to-high ranking. What I want to see is a difference in the results. This gives me confidence that the indicator is working. Here I expect ranking from high-to-low to give me better results. We can see that the CAR is the much better ranking from high-to-low than low-to-high, which is a good sign. Though the CAR is not that much better than using HV100. But the Avg %p/l is much bigger. As Signal Filter Going back to using HV100 as the ranking […]
[…]drawdown of only 24%. Drawdowns are usually larger for longer term strategies. The main reason for matching buy and hold is the market timing filter but there appears to be potential here. Variations To improve the results, we focus on two things. One, larger position sizes because I find 20 positions too many. Two, larger stops because we want to give the stocks some breathing room. This gives us some better numbers. So far, the rules have a small edge. The average hold is about 1 to 2 months for the variations. Low Volatility From my work with Connors […]
[…]because of his work. Through this journey, we have become wonderful friends -sharing our passion for trading, numbers, and research. If you are a trader, this is as good as it gets.” – Individual Investor “There no way I’d be professionally managing money today were it not for the professional advice and help of Cesar Alvarez. I’ve yet to meet a trader/researcher with such a superb understanding of the markets; as well as the dangerous trapdoors that await if you decide to develop your own quant system.” – Mark Angil, Principal, RBD Adaptive, LLC – 1st Place Winner of BattleFin’s […]
