[…]strategies and tried what came to mind. The last two ideas came from the following post: https://www.quantopian.com/posts/momentum-strategy-with-a-dynamic-universe. One will also noticed that I tried ranking both ways. For example, I looked at highest ADX21 and lowest ADX21. We do this for two reasons. First, one never knows which one will work. Two, if a particular method gives good results, it is good to see that the inverse of it gives poor results. This helps confirm the ranking method. Baseline We are looking for results that are 2-3x the CAR with half the drawdown. That is my baseline for longer term […]
[…]MA200s, then you would be invested 30% in IEF. Variations Tested These are all the reasonable combinations I could think of to test. Signal day is the day the signal is generated to enter or exit. Which means we enter/exit on the next open. Daily timeframe Using daily bars, we have these three tests. Allow any day to be a signal day Only the last day of the week can be a signal day Only the last day of the month can be a signal day Weekly Timeframe Since data is in the weekly timeframe, I reduce moving average to […]
[…]Dividend Aristocrats® Index, constructed and maintained by S&P Dow Jones Indices LLC, targets companies that are currently members of the S&P 500®, have increased dividend payments each year for at least 25 years, and meet certain market capitalization and liquidity requirements. The index contains a minimum of 40 stocks, which are equally weighted, and no single sector is allowed to comprise more than 30% of the index weight. The index is rebalanced each January, April, July and October, with an annual reconstitution during the January rebalance. Can I make my own dividend strategy that outperforms the index and ETF? […]
[…]even make the top half. So clearly that is not it. Average VIX Year Over Year Increase Next up was comparing the year to year increase in the average VIX value. Well this came close. 2018 was the second biggest increase. But that was coming off the lowest VIX reading since 1995. Also, I did not get their increase of 57%. I only get 50%. Average Absolute SPX % Daily Return Maybe using the daily return of the SPX will get us somewhere. I took the absolute value to avoid up and down days canceling each other out. 2018 falls […]
[…]addition> Want to Play Do you want to join the fun? Run the test and post your results in the comments. I am providing the trade list for both runs so you can compare your results. Spreadsheet Fill in the form below to get the trade lists and monthly returns. Final Thoughts Are my results correct? Maybe. I did this quickly to get the post done today before the holidays. There is a higher likely that I made a mistake or a bad assumption in the rules. It is easy to say someone’s results are wrong. What is hard […]
[…]models are used as input along with bonds and other markets related to the stock market. These are combined to give a rating. The Market Barometer is predicting more long-term behavior in the market. Statistics on each rating Statistics are based on data from 1/1/2004 to 12/31/2021. 21-Day return The black line is the average 21-day return of the SPY which is 0.93%. Each bar is the average 21-day return of the rating. 63-Day return The black line is the average 63-day return of the SPY which is 2.77%. Each bar is the average 63-day return of the rating. […]
[…]day on entry .3% slippage when the open equals the high of the day on exit As expected, the CAR comes down but not as much as I was expecting. And the MDD stays about the same. Looking at the worst case I tested of .3%/.5% slippage, you can see how bad the strategy can get. The problem is we don’t know how much to expect. What is interesting is that the entry/exit at the extreme really doesn’t have much impact on the results. Look at the .1%/.1% row with a CAR of 23.86. Now let’s look at the .1%/.5% […]
I recently read on Don’t Talk About your Stocks about an idea that stocks that were losers after (4, 6, 8) weeks should be sold to make way for other stocks that may do better. Will this idea improve the results from the original DTAYS Weekly Breakout Strategy? This reminded me of research I did while working for Larry Connors. On a mean reversion strategy we were researching, we noticed that after 10 days, 95% of the positions end up being losers. Then came the ‘obvious’ rule to add. Exit a position if it had not bounced after 10 days. […]
[…]have the values picked been unstable ones? Now, so far this year it is doing better. Is it back? Comparison of Entry/Exit times I want compare the different results of entering on signal day vs the next open vs next close. Since we are using the open, we have to test from 2011. We can already see a substantial change in the CAR using the different entry/exit times. With an average hold of 26 market days, I was surprised to see such a difference in results. As expected the drawdowns are huge given you are in the market all the […]
[…]the original post for rule details. Tested from 1/1/2004 to 6/30/2014 Idea 1 – Remove MA100 rule Comparison is on Russell 1000 only. For S&P500, Russell 3000 and NDX100 see the spreadsheet. Take the original rules and remove the rule that the Close is greater than the 100 day moving average. New Results Original Results For this time period, as 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. […]
