[…]on close Sell X day later We will look at 5, 10, and 15 day returns. First we need a base line to compare future results against. Here are the average returns of the SPX over these hold times with no other filters. Right off the bat, it’s obvious that adding the MA200 greatly improves the base line results. Next, let’s see how adding the SPX “exactly N up days” changes the results. For all trades in this set, the SPX “exactly up 5 days” are best. The rubber band appears broken with momentum already up. The results are between […]
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[…]years. I can confidently attest to Cesar’s technical competence as well as his unique ability to combine his technical competence with relevant and timely market applications that translate directly into improving the bottom line P&L for traders and professional investment managers. Having access to Cesar’s knowledge and extensive trading experience will likely help just about anyone looking to profit from the markets, from beginners to seasoned-pros alike and I look forward to seeing Cesar’s work benefit more and more traders as it has been successfully doing for years.” Shijun Liu – Parker Investment Mgmt, Menlo Park, CA “I have […]
[…]a tough week. But how unusual has this move been? I had a couple of readers send in some ideas to test. These are always fun tests to do when the market goes crazy but usually they don’t provide enough data points to act upon. All tests are done back to 2001. SPX & VIX When was the last time the SPX had RSI(2) < 2 and two day return < -5% and the VIX had RSI > 99. This has only happened on the following dates. Date 8/21/2015 10/10/2008 10/9/2008 Not a common occurence. VIX Move The VIX has […]
[…]can change price data slightly. I find this one useful. Some people expect that if they run a backtest today and then run it again sometime in the future, that they should be exactly the same. But given these slight data changes, you may get slight (or even large) differences in your backtest results. This is good. Why? Because it tells one how sensitive one’s strategy is to the data. Trust but verify I have been lazy (OK really lazy) in my data verification but since the beginning of the year have been doing it again. Every two weeks, I […]
[…]results. Will that be the case again? Test Parameters From 1/1/2001 to 10/31/2013 $.01/share for commission 3 month T-bill interest rate used for cash Best N Month Rules It is the first trading day of the month Stock is a member of the S&P500 Rank stocks from the highest to lowest by (6,12) month return Buy the top 20 ranked stocks at the close Optional market timing rule: SPX close > 200 day moving average of SPX closes on the entry day Hold until next month Worst N Month Rules It is the first trading day of the […]
[…]member of the S&P500 Rank stocks based current 9 month performance, from high to low Buy the top 10 stocks at the close Base Results The base case only gives slightly better results. Additional Filters Most filters hurt the results. Only one rule helped, requiring that the stock has mode a 3 month high in the last 10 days improved the results. Compounded growth rate went up 43% while maximum drawdown went down 25%. Do stops help this improved version? Stops The stops are triggered intraday. The stop is set x% below the entry price and left there until the […]
[…]still be good. What a great way to start the year with ideas I have never tested. The Base Case For testing universe ‘RRSP Strategy’ blog used S&P600 small cap and the PDF used all NYSE stocks. We will be using the historical S&P500 constituent data. The test range will be from 1/1/2001 to 12/312013. The Rules It is the rotation date. For Quarterly it is the first trading day of quarter (January, April, July, October). For Semi-Annual it is the first trading day of either January of July. Stock is a current member of the S&P500 Rank stocks based […]
[…]stocks. In this post, the focus is on low volatility stocks but now adding profit target stops to see how they can improve the results. Trailing Stops The following profit targets will be tested. (10, 20)% percent stop (2,4)x ATR10 Stop (2,6) Month Stop Profit Targets The following profit targets will be tested. None (20,40)% target (2,4,6)x ATR10 target The Test Date range from 1/1/2004 to 12/31/2013. Buy Rules Stock has 21 day moving average dollar-volume greater than 10 million over the last 3 months Close is greater than $5 Six month return is greater than 10% Close is […]
[…]it was not completely easy to figure out what was going on. The next time your strategy starts to perform poorly after 3 to 12 months, remember how hard it can be. I dropped the strategy after 6 months. It was not broken, the markets had changed. Backtesting platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant […]
