[…]that it is a very typical mean reversion strategy that trades stocks. I will include 2006 in the In-sample period because the return for the year was in line with previous years Curve Fit? Was the initial strategy curve fit? I do not have the original code so I made a best guess of the parameters I would have optimized on and their values. The strategy CAR was 1.3 standard deviations from the average of all the variations. Even the worst variation still had a very good CAR from 2000 to 2005 and saw similar drop in performance. This variation […]
[…]why even good strategies must test investors’ ReSolve every now and then in order to deliver long-term excess returns.” Annual Asset Class Returns I always love seeing this chart. Good Quant […]
[…]eating Ramen noodles, I was living the high life. Then, it all came crashing down . Click here to download the free […]
Listen to me being interview on DTAYS 016 – Cesar Alvarez. Don’t Talk About Your Stocks website no longer exists. Click the link below to listen to my saved copy of the interview. Listen to the three main points I make about trading. The importance 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 […]
[…]in The Course I found Matt’s CBT Course to be invaluable. Having used Tradestation for many years, I began working with Amibroker about a year ago. Matt’s help was a massive shortcut for me. There are many possible pitfalls when designing and testing systems. Improper coding is certainly one of them. And with Matt’s help, I was able to learn how to code in Amibroker both accurately and efficiently. The skeleton code that comes with the course is something I’ve used over and over. And the ability to go back and review the videos and PowerPoint slides allows me to […]
[…]from experience that trying to suddenly become a day trading, I will make things worse. Prevention One thiing I do when a mistake happens is what can I do to prevent it happening in the future. Right now each night at 6:30 I have a simple program run that brings up a dialog to remind me to place the trades. Because of this mistake, I have added code to the program. Now if the dialog is still up at 9pm, it sends me an email/text to remind me to place my trades. Final Thoughts Does it suck making these stupid […]
[…]the values used ‘common’ or no-odd values, it does not guarantee it is fine. Lastly, was an in-sample and out-of-sample testing done on this strategy? These are all questions you should ask yourself when you run into strategies (even mine). Especially ETF based ones. Given all the above, I think this strategy does have potential. The biggest issue is the defaulting to TLT when all is not working. This was a great rule during the very long bond bull market. Maybe a new rule to make sure TLT is an uptrend? I will be researching this strategy more. Backtesting platform […]
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[…]you…Find better trades by visualizing your own custom indicatorsMark important information by placing text on the chartManage trades better by placing symbols on the chart to signify important eventsAnalyze strategies better by creating custom reports Learn how to create these charts and more! And what’s more …You get access to me to make sure you learn the material. This is my 3rd class I’ve have taken from Cesar’s video courses he offers on AmiBroker. I like the man’s down to earth approach and also, he never seems to, with all his programing experience, teach over the top sort of speak. […]
[…]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 you how to use advanced features in AmiBroker. People have paid $1,000s and $10,000s to learn from Cesar. Included In The Course Prerequisites Both Amibroker 101 & 201 are fantastic courses that are packed with excellent information and Cesar is genuinely interested in making sure his students get all their questions answered and have a good understanding of the material presented. The courses […]
