[…]trading trend following or momentum based systems/strategies. Can you explain why? How do you come up with the underlying idea for a brand new trading strategy? And many more great questions! Links For those of you that emailed me questions, I tried to answer all of them. If I did not answer your questions to your satisfaction, email me and I will try again. Sorry about speaking so fast in the recording. I get all excited talking about trading. If after listening to the recordings, you have any questions on my answers email me. Webinar links: August 3, 2016, right […]
[…]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 errors or omissions in the comments and I will fix the text in the blog. I do realize that some of the issues that I bring up would be mitigated if I did not use Quantopian and used Zipline and […]
[…]better numbers compared to all others. The 120/110 did dramatically improve on 100/100 for Compounded Annual Growth rate. I was surprised to see that the Maximum Drawdown also improved. What really caught my attention was the 90/80. It did 82% of the 120/110 total return but with a smaller MDD at 32.5%. It shows one that if you want to reduce your drawdown focus on your reducing your Down Capture. Well my intuition was not quite right here. If I had to pick one of these to trade it would be the 90/80. But what happens during bull markets? Will […]
[…]more about specific area of trading Click here for more information Tech CometsTrades only NASDAQ 100 stocksAverage annual returns over 20%Winning trades with over 20% profit are commonNo intra day market watching. Orders are placed outside of market hours Click here for more information Volatility Trend TraderTrades only 2 ETFs (VIXY/SVXY)Average Annual Return over 30% using only 50% of the account Click here for more information Market SurferTrades only 2 ETFsAverage annual returns over 20%Average of 1 trade a month Click here for more information Big Cap AlphaTrades only S&P 100 stocksAverage annual returns over 20%Compounded annual growth rate is […]
[…]the method used to choose the regimes. This Bull Regime has had fewer and less severe bear markets compared to the previous Bull Regime. Though one thing I do not like is that the 1982 Bull Regime does not end until August 2001 which surprised me. Will the pattern hold with the 200-day MA test? 200 Day Moving Average Now the two Bull Regimes are much more similar in terms of time in bear and depth. What it is interesting here is that this bull market has had the benefit of low interest rates and government intervention, and yet the […]
[…]The problem is how does one say which data source is correct without a third data source to compare against. I could compare about a dozen symbols with Bloomberg’s data. Eight symbols agreed between CSI and Bloomberg. Four symbols agreed with Premium Data. Of the eight symbols were Premium Data did not agree there were a couple of obvious data errors, which I reported to Norgate Investor Services. Grade: A The data can be adjusted for dividends and one time capital gains There seems to be some misconception that Premium Data Services cannot do this. I have had several people […]
[…]this point but there is some other research that I want to do later in the year where this could become a component in. Fill in the form for the spreadsheet For a spreadsheet with yearly return, different split windows, and more stop prices, fill in the form below. Backtesting platform used: AmiBroker. Data provider:Norgate Data (referral link) Good quant trading, To get […]
[…]of worse nine day periods. The current down period has had no 1% or more down days. I wondered how common is that. For the 3,189 down periods the average number of days with 1% or more down is 1.86. Again this period is below average with zero. Looking at the top 788, there has only been 2 times were there were no 1% or more down days. And the average for this top 788 is 3.2 days with 1% or more losses. Again, these nine down days seem tame in comparison. As everyone is speculating, the markets are nervous […]
[…]the Data How often should you recalculate the average return and standard deviation? Davey recommends, you keep the cones as is and never update them. That does not feel right for my gut. But I am not sure what is the right period. Every quarter? Seems to frequent. Every year? That feels about right. This is what I see is one of the most influential decisions when using the cones. Here is what it looks like if you had updated the cones on 1/1/2020. Now the bottom 2SD cone is clearly violated. Spreadsheet Fill in the form below to […]
I saw this interesting graph the other day on The Big Picture 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 […]
