[…]the time they turn out to not be useful for my strategies. While reading the April 2021 Technical Analysis of Stocks & Commodities, I came across an article about Volume Positive Negative (VPN) Indicator for detecting high-volume breakouts. As I have written before, I rarely use volume in my strategies because I can never get it to work. Here was an indicator using volume, not a chance I would not test this. Volume Positive Negative (VPN) Indicator Calculation From the article “this indicator compares the difference between the volume on up days (positive) and the column on down days (negative) […]
[…]which was conceptually based on the S&P 500 Dividend Aristocrats. Just recently, Norgate Data started offering historical constituent data for the S&P 500 Dividend Aristocrats index. This would be a much ‘cleaner’ version compared to what I was trying to do in my original post. Would using this index produces better results? Universe Size My first question was how many stocks are in the index? As you can see this is a small index with the number of stocks varying between 40 and 65. Few stocks have a rising dividend history. Misc. First, the first test is from 1/1/2007 to […]
[…]indicator or new position sizing method or new strategy we read on some blog. In BJJ, trying the latest new thing is fun to do. For me trying a cool new armbar or triangle choke is fun but does not fit into my game of standard chokes and leg attacks. That and my body type is not suited for those moves. I must determine how will this new move be integrated with the rest of my game. It is not always clear cut if something will work out or not. Recently I played around with the 50/50 guard. At first, […]
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For spreadsheets from my February 2016 presentation, Using Stops: The Good, The Bad and The Ugly, fill in the form below. I can provide consulting services to modify these strategies or test your ideas to meet your needs and […]
[…]and pitfalls to avoid when doing out-of-sample testing. Out-of-sample testing is not the panacea it is made out to be. There are lots of grey areas which I will discuss below. Definition To do in-sample (IS) and out-of-sample (OOS) testing, one first divides their historical data into two parts. The most common methods for dividing the data are 50% IS/50% OOS and 67% IS/33% OOS. I will be using 15 years of data. Here are some ways that one can divide the data. There are different reasons one may want the IS data to be the oldest data or the […]
[…]seem shorter and shallower now compared to the past. I thought this would be a quick and easy research project and blog post. Nope. As I generated numbers, more questions and research paths would be generated. My questions are Are bear markets shorter? Are bear markets shallower? Data & Date Range The $SPX index will be used for these tests. I know this does not include the dividends but my $SPXTR data does not go back far enough. Picking a start date turned out to be harder than I thought. My usual start date of 2007 did not give enough […]
[…]my testing, I normally use $.01/share for slippage and commission. I will be adding the additional slippage to these results. We will be focusing on CAR and MDD as we add slippage. The “# Entry” column is the number of trades entered at the open and that was the low of the day. The “# Exit” column is the number of trades the exited at the open and that was the high of the day. You can see these make up 11% of the trades. Adding Percent Slippage In my trading experience, when entering at the open and it also […]
A user commented on ETF Sector Rotation post about a simple idea for trading the sector ETFs, which I can’t believe I have never tried. I like keeping things simple just like my Brazilian Jiu-Jitsu game. Rules If the Select Sector SPDR ETF (XLY, XLP, XLF, XLE, XLV, XLI, XLB, XLK, XLU) is above its 200-day moving average for the last 5 days, then buy 10% of that ETF. If it is below the 200-day moving average for the last 5 days, then sell it and allocate to IEF, iShares 7-10 Year Treasury Bond. Simple, I like it! If all […]
My post last week on the analysis of SCTR produced lots of emails and comments with great ideas. One idea that I liked was a simple rotation strategy using SCTR. I mentioned in the post that maybe using SCTR as ranking method would produce different results. Normally I don’t post this quickly but I wanted to share these new results because they give a different view of SCTR. The Test Date range: 1/1/2007 to 6/30/2018. Buy Rules Stock is a member of the S&P500 It is the last day of Quarter On the rotation day, sell all open positions at […]
