[…]all Smart When everyone in your field of choice is intelligent it’s much harder to separate yourself from the crowd. The paradox of skill is what makes it so difficult to beat the market over time. Finding undervalued assets isn’t as easy today as it was in the past because there are more smart people who know where to look. … Trend following does not work on stocks There’s a good reason why most professionals who apply models similar to trend following to stocks call them momentum models. It’s not just a clever rebranding, it’s really a very different game. To blindly […]
[…]on Sector trading using the 200-day moving average at the Northwest Traders and Technical Analysts. Some questions asked were: What if we only trade this monthly? What if we used weekly bars to trade only weekly? What if we used weekly bars to trade monthly? The reason for these questions was to reduce the frequency of having to check signals and the total number of trades. My first response was that the results would probably be a little lower and the trade count also would be lower. But that was just a guess. I have been doing this long enough […]
[…]Excel go from single digit market share to owning the market. Cesar spent nine years as a professional market researcher for Connors Research and TradingMarkets.com. Cesar has been at the forefront of stock market research, having developed a number of successful trading systems now used by numerous investors and fund managers in the United States and internationally. Cesar has given trading presentations both over the web and in person to hundreds of traders. I have been trading since 1996 mostly stocks and ETFs. I trade multiple quantitative strategeis both on the long and short side. The strategeis are mean reversion, […]
Rotational strategies are a way of always being invested in the “best” securities while only trading at predetermined intervals like monthly or quarterly. In this course, you’ll learn how to build rotational strategies in AmiBroker. Course Objectives Learn at your own pace and on your own time About your instructor This course is taught by Matt Radtke. I have worked with Matt for over 8 years. We often consult with each other on AmiBroker questions or projects. I highly recommend this course to anyone who wants to learn the intricacies of the CBT. Matt Radtke is a trader, researcher, software […]
[…]Started Now Want to learn more about how I can help you and what the process is? Sign up for a free 30-minute call about your strategy evaluation. The cost of this service is dependent on how extensive you would like the analysis to be, with a starting price is $250. Let me help you stress test your strategy. Contact me to get […]
[…]and AmiBroker Consulting Don’t know how to code but have an idea that you want tested? I can test your ideas, improve on them and keep them fully confidential Have your AmiBroker programming and coding needs will be solved by Cesar. For more information: AmiBroker Consulting AmiBroker Courses AmiBroker & Backtesting 101 – Introduction to coding and back testing in AmiBroker Learn AmiBroker in this self-paced video course No programming experience required AmiBroker Custom Charts Learn how to create custom indicator charts and custom backtest report charts Intermediate AmiBroker and Backtesting 201 Learn more advanced topics in AmiBroker. AmiBroker Custom […]
[…]course to anyone who wants to learn the intricacies of the CBT. Matt Radtke is a trader, researcher, software engineer, and freelance consultant with a focus on helping clients build and test quantified trading strategies using AmiBroker. After earning a pre-internet Computer Science degree from Michigan State University, he spent more than two decades writing software for a variety of companies from small startups to multinational conglomerates like Hewlett-Packard. Mr. Radtke started trading stocks and options in 2007, and later added futures to the mix. In 2010 he was introduced to the concept of quantified trading by Larry Connors, and […]
[…]reflection, I applied CV10/63 to the mean reversion strategy I trade from the beginning of the analysis. First, I would generate data gathered from all trading signals and then apply what I find to the portfolio. All Signals Results Above the 200-Day Moving Average The blue line is the avg % p/l for each PercentRank bucket. The dotted line is the trendline. The orange line is the average % p/l for all trades, 2.28%. The lower PercentRank ratio is clearly below average while those above 50 are above average. I like seeing charts like this. Looking at the trades with […]
[…]volatile ones get a larger size. I have always been a fan of equal position sizing for several reasons. One, it is simple to do. Two, it is one less variable to optimize on and thus overfit on. Three, I rarely see much change in the metrics I care about when using more sophisticated algorithms. Inverse Volatility Position Sizing is said to slightly reduce returns but has a big decrease in drawdowns and an increase in Sharpe Ratio. Time to test and see if that is true. Recently I wrote about a monthly rotation strategy. I will be using that […]
[…]sign of future weakness. S&P500 Stocks Test Next we want to know which S&P500 stocks to focus on. Searching for the best 10 stocks to focus on after a very strong market with a subsequent pullback, the test uses the rules below. Then, while keeping those rules constant (below), we try different stock ranking methods to see which “ranking method” would produce the best performing stocks. Buy Yesterday: SPX: Close > MA10 for 15+ days Today: SPX: Close < MA10 Stock is member of the S&P500 Stock has been trading for 200 days Entry at Close Sell Five trading days […]
