[…]a snapshot of today? The data is it existed in the past. No pre-inclusion bias. Do you include commissions in your results? Only in portfolio tests. For portfolio tests, I use $.01/share for commission & slippage. What interest rate do you use for cash? I use the 3 month T-bill rate. Can you share your code? The code would not be of use without the data. If you have specific AmiBroker coding questions, send them to me and I can try and answer […]
[…]to fancy) or hotel to stay at (want to stay in the heart of Sydney), put them in the comments. On May 13th, I would like to get together with some of my Australian readers in Sydney. If you are interested in meeting either for dinner or drinks, please contact me. Depending on the size of the group it may just be drinks. Any suggestions on where to have the get together are appreciated. I plan to stay in the heart of Sydney but have not booked my hotel yet. What is the must eat restaurant in the heart of […]
Professional Quant Based Trading Strategies The Crew An elite community of traders sharing ideas, finding trades, and creating strategies so you can profit. Click here for more information Tech Comets Click here for more information Volatility Trend Trader Click here for more information Market Surfer Click here for more information Big Cap Alpha Click here for more information Exploding Stars Click here for more […]
[…]Model “What I love about trading models like this is the simplicity. So often simplicity trumps complication. Simple systems often have one important characteristic. They often get you out of the market during bear markets and get you back in to ride the next bull cycle. That is, if you are disciplined enough to actually follow the rules, which of course is another entire […]
[…]it. I can assist you in the development of your strategy along with evaluating your strategy using common metrics or custom metrics that you have. I can help validate your existing strategy. This can give you peace of mind that no coding errors exist in your strategy. Strategy validation is a very important, but neglected, part of developing a strategy. Your strategy can use end-of-day data or intraday data. A mix of time frames. It can trade, stocks, mutual funds, and ETFs. You can trade single issue or a portfolio. It can have simple position sizing or complex position sizing. […]
[…]A Warmup? “The ETF can’t be more liquid than the underlying, and we know the underlying can become highly illiquid.” Computers are the new Dumb Money “Rational, experienced people understood that an ETF with holdings that were down an average of 5% should not have a share price down 30%.” Avoiding the Big Drawdown: Is Downside Protection Helpful or Heresy? ‘Chasing the Investing Unicorn: Give me “High Returns with Limited Risk”’ Algorithm Aversion — Why people don’t follow the model! “However, given this knowledge that models beat experts, forecasters still prefer to use the human (expert) prediction […]
[…]Guidebook, click here File: Click to download: ConnorsRSIa.afl // Provided by Cesar Alvarez www.AlvarezQuantTrading.com // ConnorsRSI from http://analytics.tradingmarkets.com/ConnorsRSI/paramLenRSI = Param("RSI Closes Length", 3, 2, 100, 1); paramLenUD = Param("RSI UpClose Length", 2, 2, 100, 1); paramLenRank = Param("PerecentRank Length", 100, 10, 200, 1);function ConnorsRSIa(arr, lenRSI, lenUD, lenROC) { upDays = BarsSince(arr = Ref(arr,-1)); updownDays = IIf(upDays > 0, upDays, IIf(downDays > 0, -downDays, 0)); crsiT = ( PercentRank(ROC(arr,1), lenROC) + RSIa(updownDays,lenUD) + RSIa(arr, lenRSI))/3; return crsiT; }function ConnorsRSI(lenRSI, lenUD, lenROC) { upDays = BarsSince(C = Ref(C,-1)); updownDays = IIf(upDays > 0, upDays, […]
Backtesting and AmiBroker Consulting Don’t know how to code but have an idea that you want tested? I can test your ideas, improve on them and keep them fully confidential Have your AmiBroker programming and coding needs will be solved by Cesar. For more information: AmiBroker Consulting AmiBroker Courses AmiBroker & Backtesting 101 – Introduction to coding and back testing in AmiBroker Learn AmiBroker in this self-paced video course No programming experience required AmiBroker Custom Charts Learn how to create custom indicator charts and custom backtest report charts Intermediate AmiBroker and Backtesting 201 Learn more advanced topics in AmiBroker. AmiBroker […]
[…]bar, starting with the 9:32am bar. That is what I will using. Running a backtest is slow compared to AmiBroker. One test takes about 30 minutes vs. about 20 seconds in AmiBroker. Because of this, I was limited on the ideas I could test. The Base Test Since most questions about earnings have come from mean reversion traders, that is what I will be testing. Dates: 1/1/2007 to 12/31/2013 Buy Rules Stock is member of the Quantopian 500. The 2 period RSI crosses under (1, 3, 8) The close is above the 200-day moving average Rank signals using 100-day Historical […]
[…]– “What I love about trading models like this is the simplicity. So often simplicity trumps complication. Simple systems often have one important characteristic. They often get you out of the market during bear markets and get you back in to ride the next bull cycle. That is, if you are disciplined enough to actually follow the rules, which of course is another entire topic.” The Martian by Andy Weir – I read maybe one fiction book every 2-3 years. This is a great book. A fun and entertaining read. Be warned you will lose sleep. Good Quant […]
