[…]I get a nugget of an idea to research or a simple strategy. Sometimes the post/podcast will recommend a book. From one of these sources came the recommendation of the book “Trade Like A Stock Market Wizard” by Mark Minervini. Fortunately for me, my local library carried it. The strategy he covers in the book is a mixed of fundamentals, chart reading and technical analysis. Not something I would normally care about. I really enjoyed the chapters on risk management. In one chapter, he has very specific technical rules that all stocks must follow. On seeing this, I wondered could […]
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[…]eventually gets to be as much as 87% exposed. At 15% and above, the maximum exposure nearly becomes 100%. This method does not make sense because one is back to the possibility of a large drawdown in the account. The drawdown did come down but not as much as I would like. Method 2: Yearly Rebalance The Yearly Rebalance method takes the first method but only applies at the beginning of each year. This is the most common I have seen purposed on the web. At the start of a new year, the strategy rebalances the portfolio so “% portfolio” […]
[…]adjusted data make no real difference in the results. Technical Indicators Next we will compare some technical indicator values. The comparison is to the nearest tenth. For example, if the RSI(2) is 89.2345 with dividend adjusted and 89.2357, we round to the nearest tenth and get 89.2 and 89.2, which we then say that the values are equal. My reasoning for comparing at this level is that one rarely cares to a greater precision. Now, there may be a huge difference between 4.99 and 5.01, if the buy rule is RSI(2) less than 5. For the comparison, I used […]
In the previous post, Simple ConnorsRSI Strategy on S&P500 Stocks, I showed a simple strategy which I optimized which gave 1,300 variations. Today, I will cover various methods to choose a strategy to potentially trade. Goals The goals were to find a variation with over 20% CAR and Max Drawdown under 25%. Know ahead of time what metrics you care about and what values you want is important. Maybe you care about Ulcer Index or Sharpe Ratio or correlation with SPX. Everyone has their own but you must figure out what yours are. I like to keep it simple and […]
[…]am not sure I would have used them. No story that I could make about why this should work made me comfortable. And we must be comfortable with the reasons we are trading our strategies. Backtesting platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant […]
[…]results in the tables below use the same rules as above but remove the RSI rule. This allows us to compare how the RSI rule changes the results. P-value We will be comparing the ‘average % profit/loss’ of the test vs the ‘average % profit/loss’ on the baseline, which is the population of all possible trades. To narrow down the results, I calculated the p-value for each test. Some may argue if this is the right metric or have other issues. I am trying to use this help point me to interesting results. I am not saying that a p-value […]
[…]the programming basics that you will need. Do I need a data source? Yes, you will. It can be Yahoo.com or any other. Can I have no experience using AmiBroker? I assume that you have basic knowledge of using AmiBroker. I show areas of AmiBroker that are important for backtesting. I do not cover all aspects of AmiBroker because it is much too complex of a program to do that. I am glad though to answer any questions you have on areas I do not cover. Can I get details on the strategy? The strategy is meant as a general […]
[…]in order to develop your own algorithms in AFL language, you must not forget that Amibroker is a complex product. I was stuck in a point that I needed some help, that’s why I got into the course.All I can really say is that the Amibroker & BackTesting 101 course was great! The way the classes are structured gives you a solid confidence to advance and progress in your learning process of developing a custom backtesting strategy and guarantee you to understand how the built-in functions works in order to then create your own code and discover the results of […]
