DTAYS Interview
[…]of being able to go to cash How it is essential that your trading strategy match your personality And most important, the advantages of having a trading buddy Click here to download the […]
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Intermediate Term Stock Rotation Strategy Using S&P500 Stocks
One of my research goals for this year is to find an intermediate term rotation strategy using S&P500 stocks. Then right on cue, I read the following post Intermediate momentum! which points to research Is momentum really momentum? by Robert Novy-Marx. In that he mentions that “intermediate horizon past performance, measured over the period from 12 to seven months prior, seems to better predict average returns than does recent past performance.” I have never tried an idea like this. In the blog comments, a user says he got great results using the current NDX100 stocks not the historical. This introduces […]
Avoiding Trades Before Earnings
Over my last 16 years of research, one of the most asked questions is should you not take trades before an earnings release. I could never answer this question because I did not have the data. I can easily recall trades were a stock came out with poor earnings and crashed 25%. But without testing this, I would still take stocks into earnings. Because that is how the testing was done. A few months ago, I discovered that Quantopian has data for the earnings dates for stocks. I had been looking for a good reason to try out Quantopian and […]
Backtesting a Dividend Strategy
[…]Aristocrats” and how to trade these stocks. The strategy was part quantitative and part discretionary. It was popular talk with lots of good questions. People always seem interested in dividend stocks but for me they are just another stock with another reason to go up or down. I don’t like to dismiss ideas without testing. The strategy relies on fundamental data that I do not have access to but I have dividend data from Norgate Data. Would that be enough to create a strategy worth trading? S&P 500 Dividend Aristocrats Here is the definition of this index from S&P Dow […]
AmiBroker & Back Testing 101
[…]the results and create trading signals for it. We will code from beginning to end a strategy with a compounded return of more than 20% from 2004 to 2013. Imagine the world of new trading strategies that you could create with new found knowledge. Learn at your own pace and on your own time. About your instructor, Cesar Alvarez Cesar has been programming and backtesting ideas in AmiBroker since 2001. For 9 years, he was the Director of Research for Connors Research where he created hundreds of trading strategies. He has taught AmiBroker at weekend trading seminars. Cesar will teach […]
Simple Ideas for a Mean Reversion Strategy with Good Results – Part 2
[…]expected the exposure went up but the CAR did not increase that much. The max drawdown increased dramatically. Definitely in the realm of very few people could handle. The year 2008 is still positive without the MA100 which is interesting. I expected that year to get crushed. Idea 2 – Enter on open after setup day Starting with the initial rules we make the following changes. Instead of waiting for the stock to trigger at our limit price, we enter at the open. Three ranking methods were tested. Highest 100 day Historical Volatility Worst 5 day return Highest 5 […]
Quantopian Review and Comparison to AmiBroker
In my last post, Avoiding Trades Before Earnings, I mentioned that I used Quantopian to do the research. Several readers asked about my thoughts about Quantopian and how it compares to AmiBroker. Some asked if I had left AmiBroker for Quantopian. What follows are my impressions after using Quantopian for several months and how it compares to AmiBroker. The big question is will I be switching from AmiBroker to Quantopian for my backtesting? My comments are from the point of a view of a stock trader who uses daily data. For those Quantopian experts out there, please point out any […]
AmiBroker Adaptive Trading Strategies Course
[…]with rules that change depending on the market regime. This course will focus on developing adaptive trading strategies using AmiBroker, leveraging the Custom Backtest (CBT) interface introduced in the CBT Intensive Course. At the completion of this course, you can: Learn at your own pace and on your own time About your instructor This course is taught by Matt Radtke. I have worked with Matt for over 9 years. We often consult with each other on AmiBroker questions or projects. Matt Radtke is a trader, researcher, software engineer, and freelance consultant with a focus on helping clients build and test quantified […]
What I am reading: July 15, 2015
[…]and made me think. For more articles see the quant mashup Quantocracy. Five Myths About Data-Mining Bias “Data-mining is widely used nowadays for trading algo development. There are several myths about how to deal with data-mining bias.” Average Returns, Rarer Than You Think “During the course of the 89 years covered by the chart, we never had a single year when the annualized compound return was simply the average!” All Strategies “Blow Up” “In this article, we will explain why even good strategies must test investors’ ReSolve every now and then in order to deliver long-term excess returns.” Annual Asset […]
Stiffness Indicator Analysis
A reader pointed me the November 2018 issue of Technical Analysis of Stocks & Commodities to an article about a trend following indicator on S&P500 stocks. I liked the concept of the indicator and the article had backteted results and AmiBroker code. How could I resist not looking into this? Little did I realize this would lead to Backtesting is Hard and How much does not having survivorship free data change test results?. Stiffness Indicator Explanation This is the general concept as explained from the article: “The stiffness indicator basically attempts to recognize strong price trends by counting the number […]