One area of recent interest for me is trading rotational strategies on a monthly timeframe using S&P500 stocks and ETFs. Areas of exploration include Momentum and Dual Momentum. Recently I came across The Secret to Momentum is the 52-Week High??? on Alpha Architect, a blog I highly recommend on reading along with the quant mashup Quantocracy.. The article is a synopsis of research done comparing momentum vs. 52-week highs as ranking filters for a rotation strategy. A new idea I had not tried. What a great way to start the year, testing a new idea. Even though often they do […]
[…]stops to trade. Well, does one? Early in my time while working with Larry Connors, he had me do a test on a mean reversion strategy and of course he said put stops in. We tried 5%, 7.5% and 10% maximum loss stops. I ran the test and noticed that higher stops had better results. I then got curious and tested larger and larger stops all the to a 50% stop, which at the level really is not a stop. A general pattern emerged that the larger the stop the better the results. I which point I decided to completely […]
[…]be fun to do. I cover some of this topic on my post Backtesting is Hard. The Rules Monthly Data: 01/2007 – 10/31/2015 ETFs: SPY, EEM, TLT, GLD, DBC Score: 3-month ROC Two open positions only 50% allocation Long-only No rebalancing Adjusted data from Yahoo Finance Although this seems like a simple strategy, his results are not close to the test he was trying to match. When I get rules from consulting clients, we spend a lot of time clarifying them. Here are my questions: What of entry or exiting timing? Is it at the close or the next open […]
[…]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. He’ll admit he’s not perfect […]
[…]Dead, Dying or Doing Just Fine” I did not realize it had been so long. Time to look at it again. The Test Date Range: 1/1/2001 to 12/31/2018 Entry: Stock is member of the Russell 3000 Two period RSI crosses below 1 As traded price is above $2 Entry on next open Exit: Two period RSI crosses above 70 Exit on next open A couple comments on the rules. I take all the signals and buy $1000 worth of the stock. I am not testing a portfolio. The test differs from the 2015 test because I believe this captures better […]
[…]article Trending Fast and Slow and thought about other ideas to test. The article is based on research on trading the SPX and depending on the current historical volatility one would either use a 12-month or a 1-month lookback to decide whether to enter or exit the trade. I had tried similar ideas before but not this one. Now what is here is not a final strategy to trade, as stated in the original article, but still an interesting concept. I wanted to know how robust it is and test some variations. Original Rules As usual, the first step is […]
[…](ROC) Ranking Now the stocks are ranked by their (1, 3, 5, 10, 21) day return. From low to high. Again, very poor results. A double check of the code confirmed that these are correct. Closing Range Ranking Next up is one of my favorite indicators that is not used much. Closing range calculation is: (today’s Close minus the lowest low over the last N days) divided by (highest high over the last N days minus lowest low over the last N days). Again, we rank from low to high. Values for N tested are (1, 3, 5, 10, […]
[…]free access to the preview of the course with no credit card needed. Two hours of professional instruction plus bonuses for $329. If you like the first part, email me and I will send you a PayPal invoice. Please note: this is an advanced course. Intermediate or better experience with AFL, including the ability to create and execute back tests and optimizations with AmiBroker’s standard back test engine. Basic familiarity with how a Custom Backtest works. If you have not used a CBT before, then the AmiBroker Custom Backtester Course is highly recommended. Thank you, Cesar […]
Several readers asked for additional tests to be done on the strategy on Sector trading using the 200-day moving average. We will be testing allocated 11% per ETF instead of 10%, using asymmetric number of days and adding IEF to the SPY MA200 10 day test. SPY MA200 10 day Buy Rule: Buy SPY when it is above the 200-day MA for 10 or more days. Sell IEF. Sell Rule: Sell SPY when it is below the 200-day MA for 10 or more days. Buy IEF. Instead of being in cash when the SPY is under the MA200, buying IEF […]
[…]where complexity is part of the discipline (think: finance, technology, etc.) there is a temptation to appear more sophisticated than others. More specifically, the idea is to appear to know the information that other people do not know and to have a certain cleverness about your approach and how you look at problems. Absolute Returns LOL If your so-called “Absolute Returns” hedge fund crushed it over the last 18 months, I have two pieces of news for you: A) it’s not really an absolute returns vehicle after all and B) it’s going to crush you when the worm turns, […]
