[…]trying to break my arm or shoulder or leg or choke me. There is nothing like being “attacked” to force you to focus. Being a smaller, older & lighter guy with most of the other students being 50% or more heavier than I, means I have little room for error. The focus comes quick and I forget about the day I had. The benefit to this focus usually comes after class in the shower. That is when I will frequently come up with new trading ideas or solutions. The time of not thinking about the day lets ideas ruminate in […]
[…]long massage. Then getting beat up by my BJJ friends in class tonight. What a good day! Fill in for free […]
[…]last day of the month Sell on the next open Rank Testing When testing a ranking method, I like to test in both directions. This lets me see if there is anything to the method. We want to see ranking by highest price to do well and lowest price to do poorly If the ranking method is not good, then those two rankings will produce similar results. Nasdaq 100 – A Winner Wow these results are better than expected. From the previous post where I did random ranking, the CAR was 10.10 with a standard deviation of 1.86. The Low […]
[…]index contains a minimum of 40 stocks, which are equally weighted, and no single sector is allowed to comprise more than 30% of the index weight. The index is rebalanced each January, April, July and October, with an annual reconstitution during the January rebalance. Can I make my own dividend strategy that outperforms the index and ETF? Base Version Given my data constraints, the strategy will be loosely based on the Aristocrats strategy. My data starts in 1990 and I want to start the test in 2007. That leaves 16 up dividend years at most that I can test. […]
[…]platform used: AmiBroker. Data provider: Norgate Data (referral link) Good quant trading, Fill in for free […]
[…]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 cling to trend following as a religion, disregarding any real world evidence and attacking anyone presenting ideas that differ to the trend following mantra is not only unprofessional, it’s outright dangerous…. Is your risk random? Your trading model might have a random risk element and you might not even be aware of it. In particular longer term models need special care to avoid ending up […]
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[…]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 […]
[…]since 2009 and still are in it, so I believe the results are good. S&P 500 Test Rules I wanted to test that the stock was in a healthy uptrend which the moving averages do. The Setup Stock is in the S&P 500 Close > 40 day Moving Average of Closes Today’s 40 day Moving Average of Closes is greater than yesterday’s 40 day Moving Average of Closes The Buy Yesterday was a Setup Today closes down 25% S&P 500 stocks don’t have large one day losses that often First I looked to see how many S&P 500 stocks […]
[…]System Trader site. I highly recommend this site to all traders to help improve their trading and to get trading ideas. I know that I have learned a lot from the other guests on his site. Backtesting platform used: AmiBroker. Data provider:Norgate Data (referral link) Good Quant Trading, Fill in for free spreadsheet and […]
