[…]trading days, exit on the next open Base Results With 19,419 trades we have a large universe to test the candle patterns on. I am looking for an improvement on the 1.12% avg p/l per trade. Candlestick Patterns I borrowed the code from the blog post. This list includes both bullish and bearish candle setups. I tested both because who knows which patterns will work. The code identifies these 23 patterns: Bullish Engulfing Bearish Engulfing Piercing Line Hammer Hanging Man Inverted Hammer Shooting Star Black Spinning Top White Spinning Top Bearish Abandoned baby Bearish Evening Doji Star Dark Cloud […]
[…]strategies. One area that fascinates me is stock options. Because it is difficult to get good data and to do backtests, I believe that there are good edges here to be found. A few weeks ago, I found myself with lots of time and having read presentations on options, I went into a testing frenzy. After lots of work, I found a strategy that greatly exceeded my expectations. It seemed to be the Holy Grail. I ran the strategy by my trading buddy, Steven, and he thought it was great too. We were so excited! Option backtests are very complicated. […]
[…]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 […]
[…]platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant trading, Fill in for free […]
[…]a good sign. This is not the typical exit for this type of trade but I wanted to use the RSI exit to compare with the other two entry types. Entry on Open, N-Day Exit In this case, I do a trailing stop of the N-day low of lows because this is the stop used for the trend resumption entry. Entry If previous bar is a set up, then enter at the open Exit If today’s close is below the (2,5,10,15,20) day low of lows, then exit on next open Results The average CAR being better than the RSI […]
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 […]
[…]back memories while I was working for Connors Research. The first time I heard about this rule and tested. I thought there is no way this rule could work. I figured it would destroy a perfectly good strategy. I was flabbergasted that it worked and produced good results. This is why I say that one should test ideas before throwing them out. You never know what will work. The Tested Rules I made the following changes to original rules. Tested from 1/1/2004 to 6/30/2014 Allow max of 10 positions at 10% each. No margin. Added a liquidity rules of: 21-day […]
[…]test. One never knows. Unlike the last post where I took a concept with a long holding period and tested it with one month holds, in this case I will test holds from one to twelve months. I am doing this for two reasons. One, does the concept really work? Two, can it work on a monthly timeframe so I can incorporate it into my current trading. Finding a stock split Since my data provider, Norgate Data, does not provide the days of stock splits, I had to figure them out. Using the as traded price, which is not adjusted […]
[…]day on the 9:32 bar Base Results I am not trying to create a great strategy but to have something to compare against. The results are nothing to write home about. Avoiding Earnings Since a typical mean reversion trade is about 7-8 days. Here are the additional rules Buy Rule Addition Next earnings date is over 7 days away Sell Rule Addition If earnings are in two days, get out on the next day. We exit the day before earnings. Results Avoiding Earnings More Data I have said this before but I just love results when they surprise me. […]
[…]have two free days to explore Sydney before the conference. If you have any suggestions on things to do and see (I will not have a car) or places to eat (from hole-in-the-wall to fancy) or hotel to stay at (want to stay in the heart of Sydney), put them in the comments. On May 13th, I would like to get together with some of my Australian readers in Sydney. If you are interested in meeting either for dinner or drinks, please contact me. Depending on the size of the group it may just be drinks. Any suggestions on where […]
