[…]style to your personality, and many more topics. Link: http://www.donttalkaboutyourstocks.com/dtays-016-cesar-alvarez/ If you have any questions from the interview, post them in the comment section of this […]
Over the last month several people have asked me how important it is to have survivorship-free data. For any researcher this is an important question to understand how the different data can change your results. We will be exploring three potential data issues: as traded prices, delisted stocks (survivorship-bias), and historical index constituents (pre-inclusion bias). My data source is CSI Data, which includes delisted stocks and as traded prices. Unfortunately they are no longer selling this package to individuals. Norgate Data supplies delisted stocks and as-traded pricing. I have not used them before. I welcome comments from people that have […]
[…]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 three time better than the S&P 500 indexNo intra day market watching. Orders […]
[…]results. My goal is no more than a 10-15% reduction in CAR. At 15%, this cut off is 15.69, which only one version beats. This version, drawdown0. It has been 10 days since this has been true and the cutoff value is 50. Our allocation to the trade is New allocation = Normal Allocation * (1- (days since equity rule true)/(rule cutoff) New Allocation = (10%)*(1-10/50) = (10%)*(.8) = 8% Each day the potential size shrinks. When it has been more days the cutoff value, then the strategy stops shrinking the trade and starts skipping trades. Shrinking Position Sizing Results […]
[…]details. I hope to see some readers there. October 17, 2016 Austin Market Technicians Association For more information see https://www.mta.org/event-registration/austin-chapter-meeting-featuring-cesar-alvarez/ October 18, 2016 Dallas Association for Technical Analysis For more information see http://www.afta-dfw.org/schedule.htm meeting #2. Good quant […]
[…]to avoid survivorship bias. I am optimizing over the period of 2010-2012 inclusive, and our out-of sample data is 2013-2015 inclusive (well, almost to the end of the year). I also take a look at a wider period of 2000-2015 to see if the system holds up. We calculate diffusion as before: dif30qtr = total_up_30 / ( total_up_30 + total_down_30 ) * 100 I’m multiplying by 100 to give it a percent-y feel, but that part isn’t strictly necessary. As always the first step is to replicate the results from the site. Matt was very helpful in answering questions and […]
[…]day low of closes Buy on Close Sell Close is a 7 day high of closes Sell on close A clarification on what it means to be a “7 day low of closes.” There are two ways one can understand this. Method 1. Today’s close is less than or equal to the previous 6 day closes. The AmiBroker code for this is […]
[…]during these very bullish times. As strategy developers we often add rules to improve some metric, for example CAR or Sharpe Ratio. But just as important are rules that will help you keep trading the strategy even if the rule worsens your metrics. That is the case of what I did with my short strategy. I added two new rules that made the results worse, but I believe will make it easier for me to trade in the future. The Original Strategy The original strategy trades Russell 3000 stocks and it is a typical mean reversion strategy. I will not […]
[…]AmiBroker software—9 of those years were as Director of Research for Connors Research, world-leading experts in quantified short-term market behaviors. In short, not only do I offer expert industry knowledge when it comes to effective trading strategies and their implementation in testing, I also offer the coding abilities of a programmer to test and verify your strategy and expand on code that isn’t “quite right.” I bill by the project so you know ahead of time how much your project will cost. To get started use the Contact Me page Your Expert AmiBroker […]
What program do you use for your tests? For for my tests I primarily use AmiBroker. I sometimes use Excel and MySQL. Where do you get your data? Currently, I subscribe and recommend Norgate Data. In particular the Platinum level. Is the data survivorship bias free? Yes. Are dividends and capital gains included? The data has been adjusted for dividends and capital gains.. Can you share your stock data? I cannot per my license agreement with Norgate Data. Is your S&P500 stock data as it existed or only a snapshot of today? The data is it existed in the past. No […]
