[…]but I am not sure)Daily data source connected to AmiBrokerAbility to program simple strategies. Comfortable with IF-ELSE statements and FOR loops.A desire to put the time in to learn Both Amibroker 101 & 201 are fantastic courses that are packed with excellent information and Cesar is genuinely interested in making sure his students get all their questions answered and have a good understanding of the material presented. The courses will cut down your learning curve dramatically as well as expose you to features of AmiBroker that could have taken months or years for you to discover on your own. Thanks […]
[…]with an average hold of 3 days. The tests are run on the dividend adjusted database and the non-adjusted database. Test dates are 1/1/2004 to 9/30/2014. Breakout Strategy The surprises start right away. I expected the longer hold variations of the adjusted data to have slightly higher returns because there were more opportunities to be in a position when the dividend happened. But that is not the case. The statistics are all close to each other as I expected. Notice the slight differences in number of trades which is what gives the slight changes in the other statistics. S&P […]
[…]the range was from 210 to 2143. Not even close to following Benford’s Law! Then using an out-of-sample optimization, I computed the CAR tercile that each of these in-sample runs fell into. My hypothesis was that failure to follow Benford’s Law implied a higher potential for curve fitting, which then implies that those in-sample runs in the top tercile for CAR and bottom tercile for Chi-Square Statistic would again end up in the top tercile for CAR in the out-of-sample. The numbers in the table represent how many runs fell into that cell, with a blue background highlighting the highest […]
[…]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 to have the get together are appreciated. I plan to stay in […]
[…]Compounded Annual Return, Sharpe Ratio, Risk Adjusted Return and % Winners. I ran an optimization on each and then chose the best one for each metric. Compounded Annual Return ConnorsRSI has the best CAR but RSI is very close by. With EMSI a little bit behind but with a higher MDD. Risk Adjusted Return Risk Adjusted Return is the “Compounded Annual Return” divided by the “Exposure %.” I like this metric because it adjusts for time in the market. To avoid variations with very little exposure which then inflates CAR, I added a minimum CAR of 8%. This time RSI […]
[…]to at least 1995 Delisted stock data Solid data quality The data can be adjusted for dividends and one-time capital gains A watch list of the S&P500, Russell 3000, Russell 1000 index constituents A simple way of determining if a stock was in the index on a particular date Good integration with AmiBroker. Both updating data and coding Good customer service especially when dealing with bad data Reasonably priced We will look at each area in more detail with each area receiving a letter grade. Data Packages One can purchase one of several packages. The most basic package, Silver, comes […]
[…]platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant trading, Fill in for free […]
[…]Hi-Lo Index is calculated as the ratio of the number of S&P500 stocks that have reached new 3-month-highs minus those that have reached new 3-month-lows, divided by the number of stocks in the index. The article divided by 500 but the number of stocks in the index can vary around this number and since I have data to calculate the actual number, that is what I used. Then we apply a 40 day Moving Average to the indicator. The market is good when the MA40 of Hi-Lo Index becomes greater than 5%. When it is below 5%, we will avoid […]
[…]mentioned the VIX and that had increased 157% from the previous year. But there was no other mention on how they came up with that statement. Well during my shower, I thought of all the “easy” ways they could have done it. So how does 2018 volatility rank compared to all years since 1995? Yearly Average VIX Reading Since they mentioned the VIX, I figured let me do the easy thing and simply take the average VIX reading for each year. Well 2018 does not even make the top half. So clearly that is not it. Average VIX Year Over […]
[…]saying they will not use the data because it cannot. The issue is that this feature is not turned on by default. In their support page, they walk you through on how to do this. I compared Premium Data against CSI data and got the same results for ten dividend yielding stocks. Grade: A A watch list of the S&P500 index constituents When investigating this feature, I thought I had died and gone to data heaven. Not only did Premium Data have a watch list for S&P500 historical constituents, they also have the data for the following indexes: DJIA, NASDAQ […]
