[…]and wanted to know more. Are stocks really moving less in tandem? Could there be another explanation for what is going on? Researching the numbers behind the chart may provide some interesting insights. From: WSJ As always the first steps is confirmation of the results. My data yielded nearly identical results which is always good especially since this is the WSJ. Research Details All the tests and data are from 1/1/2009 to 12/31/2010 using historical S&P500 constituent data. S&P500 Index Daily Returns The first step is looking at the daily returns for the S&P500 Index and putting them into return […]
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 […]
[…]I will add PercentRank(Volume, 20) < 20 as another filter. As expected, the exposure dropped dramatically from 25% to 5%. The avg. % p/l takes a large jump from 1.87% to 2.58% with % winners increasing slightly. Instead of adding PercentRank as a filter, what happens if we rank signals with a PercentRank < 20, higher than those without? This should give us about the same number of trades. We see a small improvement in CAR, UI, avg %p/l, % winners and Sharpe Ratio. Final Thoughts We did find volume providing an increase in the edge. Surprisingly it is […]
[…]traded for a few years. I remember the strategy being a daily mean reversion set up with an intraday pullback entry. I figured it probably had not done well over the last decade. I stopped trading in the middle of 2008 because I did not like how it was behaving. In the backtest it did well in bear markets but was not doing so in the middle of 2008. I ran the strategy from 2007, using the rules as they were published and was pleasantly surprised by the results. A CAR of 25%. Overall not too bad. Wish I had […]
[…]TO JOIN THE BETA The Private CommunityOnce you’re a member, you’ll get access to a community of smart, driven traders on a dedicated member forum, with channels open for discussing trading strategies, trading roadblocks, AQT posts, networking opportunities, and other topics of interest. It’s a community of like-minded traders just like you. This is your opportunity to share links, discuss topics, and bounce ideas off of other traders from around the world.Exclusive ContentMore Research— Each month we vote on research for me to do. The ideas are from members from the club. This is a great way to see research […]
[…]sure seems more obvious and stronger in the Heikin-Ashi chart. Will testing confirm this? Explanation of Heikin-Ashi Stockcharts.com has a good explanation of Heikin-Ashi charts and the calculation. Heikin-Ashi Candlesticks are an offshoot from Japanese candlesticks. Heikin-Ashi Candlesticks use the open-close data from the prior period and the open-high-low-close data from the current period to create a combo candlestick. The resulting candlestick filters out some noise in an effort to better capture the trend. … Heikin-Ashi Candlesticks are not used like normal candlesticks. … Instead, these candlesticks can be used to identify trending periods, potential reversal points and classic […]
[…]years. The Market Barometer Several different 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 […]
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[…]I travel and trade and work part-time as a physician. I have had the opportunity of trading from amazing places all over the world while supporting my lifestyle 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 […]
[…]gave a presentation on Better System Trader about using stops on a breakout strategy. The research produced results I was not expecting and may be surprising to you. The stops tested are No stops Maximum Loss using ATR (Intraday and End of Day) Maximum Loss using percentage (Intraday) Trailing ATR (Intraday and End of Day) Profit target using ATR (Intraday and End of Day) The Strategy Buy Rules: Stock is member of the Russell 1000 Close is greater than $10 21 day moving average of dollar volume is greater than $10 million Today’s Close is higher than highest high of […]
