[…]the close. As expected, the results are close to the SPX results of .92%. Now on to the big question for today’s post. Can we find a ranking method for the individual stocks that will increase the results further? I’ve tried many ranking methods (as seen in the table below), and I am open to other ranking method suggestions. From 425 trades per ranking method, the two highlighted methods stand out. One thing to look for in a good ranking method is above average results on one end and below average results on the other. The first, ‘High HV100’ does […]
[…]SSO instead. Now this is the case that people expect the results to double. As we can see the SPY-to-SSO CAR only increased by 40% while MDD increased 100%. While the QQQ-to-QLD results do nearly match the expected doubling. Why is this? Why don’t we get 2x results? Leveraged ETFs goal is to do 2x the daily return. What percent of time from 2007 to 2013 are the leveraged ETF daily return minus two times the unleveraged return was within .2%. If the SPY was up .5% then then leveraged ETF return needs to be between .98% and 1.02% to […]
[…]are meaningless Exposure metric is not actual strategy exposure Code does not work with walf-forward testing Requirements AmiBroker 6.0 or higher Two or more of your strategies written in AmiBroker Ability to add simple code to your current strategy AFL What is delivered? You will get the following Videos showing you how to add code to your existing strategies and then running the Multiple Strategies Backtest and Optimization code PDF explaining how to add code to your existing strategies and then running the Multiple Strategies Backtest and Optimization code Multiple Strategies Backtest and Optimization AFL code Three sample […]
[…]first class with no credit card needed. Eight classes of professional instruction plus the two bonuses for $495. I will contact you to make sure your AmiBroker and data are set up and ready for the course. If you like the first class, then you will be invoiced. Thank you, Cesar […]
[…]first class with no credit card needed. Eight classes of professional instruction plus the two bonuses for $495. I will contact you to make sure your AmiBroker and data are set up and ready for the course. If you like the first class, then you will be invoiced. Thank you, Cesar […]
[…]with AmiBroker’s Custom Back Tester (CBT), I am an expert, and the CBT is a must for difficult-to-code, complicated strategies. I can help you with existing code either by writing parts of it or fixing bugs. I can create code templates that you can then customize for you own strategies. If you have custom charts or indicators, those can be done too. I bill by the project so you know ahead of time how much your project will be. For more information use the Contact Me page or AmiBroker AFL Coding Consulting. “Cesar took the time to understand how […]
[…]pre-recorded video classes. AmiBroker files from classesCode template for backtests and explorationsOne on one access to Cesar to ask any questions you may haveProgram a mean reversion and a breakout strategy. These strategies are not meant to be traded.A 100% money back guarantee. See below for details.PrerequisitesAmiBroker 6.0 or greaterDaily data source connected to AmiBroker with latest quotesA desire to put the time in to learn programming and backtesting Thanks for everything, you are doing an "awesome" job at teaching this. I have no programming experience whatsoever, and new to Amibroker, but because of your ability to break this down, […]
[…]platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant trading, Fill in for free […]
As I have mentioned in several interviews, I am always looking for new 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 […]
[…]we have a set up, then enter a limit order for the next day at 5% below the close. Order good for one day only. Only place enough orders so if they are all filled you are not in more than 10 positions If have multiple set ups, then rank from high to low by the 100 day historical volatility. We enter on additional intraday weakness. Exit Rules RSI is greater than 50 or after 10 trading days Exit on next open Simple mean reversion exit of waiting for the bounce. No stops. You may have also noticed there is […]
