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[…]a 7 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 […]
[…]exactly as he trades it. Andrew uses the IBD50 as his trading universe. As is the bane to stock researchers, I do not have historical data on the IBD50. One could create some great models using that data. Instead, the test will be on the standard stock universe Even though I am changing the universe, if the concept works on my general stock universe then it should work on the IBD50. One should be worried if it does not work on a general stock universe. Rules When I tested several parameters, I bolded, italicized and underlined the parameter that DTAYS […]
[…]me the rules for a stock trend following strategy. He knew these are the strategies I have been researching lately. The rules were few and I had time, so I coded it up. Here is my definition of pre-inclusion bias from How much does not having survivorship free data change test results? Pre-inclusion bias is using today’s index constituents as your trading universe and assuming these stocks were always in the index during your testing period. For example if one were testing back to 2004, GOOG did not enter the S&P500 index until early 2006 at a price of $390. […]
[…]7-10 Year Treasury Bond ETF TIP – iShares TIPS Bond ETF BWX – SPDR Bbg Barclays International Treasury Bond ETF I am sure several are you going why did you not include XYZ ETF. Well that is making my point. Deciding what to include or not include is not straight forward. Then there is the inclusion of international one. That was more out of curiosity to see how it impacted the results. From the above list I tested three baskets JNK,TLT,IEF,TIP JNK,TLT,IEF,TIP, SHY JNK ,TLT,IEF,TIP, SHY,BWX Testing Notes Given the inception dates for these ETFs and that I needed one […]
Trading stock splits is something that I have read about for long time but never researched. This article, A simple way to beat the market with stock splits, caught my eye and gave me the push to investigate the topic. This falls into the category of a topic I have heard a lot about that I can’t believe that it would work but as always one must 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 […]
[…]really reduce your drawdowns? What happens to your Compounded Growth Rate? Time to see what the research shows us. The data I am using Norgate Data which has Industry Classification Benchmark (ICB) for most stocks. One bias to this test is that the classification is only for the last day of the stock. If a stock changed classification through its history, this would not be caught. I am not too concerned about this. The rules Setup Close greater than 100-day moving average Close less than the 5-day moving average 3 lower lows Member of the Russell 1000 (will also test […]
[…]M Prerequisites AmiBroker 6.0 or greater Daily data source connected to AmiBroker with latest quotes Solid familiarity with AFL, including the ability to create and execute back tests and optimizations with AmiBroker’s standard back test engine Summary of course Video 1 AmiBroker Architecture: Execution phases 1 and 2, multithreading, number of bars Data Constructs: Static variables, arrays and matrices User Functions: Definition, Scope, and Execution Object Model: AmiBroker classes including Backtester, Signal, Trade, and Stats Video 2 Introduction to the CBT: The three levels and how to enable your custom backtest High-level CBT: Producing custom metrics Mid-Level CBT: Modifying signals Video 3 Low-level CBT: Taking full control of the backtesting process Common Mistakes  Sign Up Now! If you […]
About once a month, someone asks how important it is to have dividend adjusted data. Or someone will comment they do not want to use Norgate Data because they do not adjust for dividends (it does but it is not enabled by default). My answer has been “without dividend adjusted data, your results may be understated.” It has always bothered me that I could not give a better answer. In my post, “How much does not having survivorship free data change test results?” I covered other data issues but not this one. Since Norgate Data makes it easy to have […]
[…]risk is by trading multiple strategies. Features Combine up to 10 strategies Select rebalance frequency: daily, weekly, monthly, quarterly, semi-annual, yearly Set allocations per strategy and backtest to see how they do together Optimize to find the right allocation for each of your strategies Custom backtest report metrics: yearly returns, top 5 drawdowns, Sharpe Ratio and correlation Generate a correlation matrix of your strategies Simple Steps Add a few lines of AFL code to your current strategy Run backtest on each strategy to generate an equity curve Load the Multiple Strategies Backtest and Optimization Tool in AmiBroker AFL Set a […]
