[…]the preview of the course with no credit card needed. Two hours of professional instruction plus bonuses for $329. If you like the first part, email me and I will send you a PayPal invoice. Please note: this is an advanced course. Intermediate or better experience with AFL, including the ability to create and execute back tests and optimizations with AmiBroker’s standard back test engine. Basic familiarity with how a Custom Backtest works. If you have not used a CBT before, then the AmiBroker Custom Backtester Course is highly recommended. Thank you, Cesar […]
[…]sharing ideas, finding trades, and creating strategies so you can profit. Click here for more information Tech Comets Click here for more information Volatility Trend Trader Click here for more information Market Surfer Click here for more information Big Cap Alpha Click here for more information Exploding Stars Click here for more […]
Several readers asked for additional tests to be done on the strategy on Sector trading using the 200-day moving average. We will be testing allocated 11% per ETF instead of 10%, using asymmetric number of days and adding IEF to the SPY MA200 10 day test. SPY MA200 10 day Buy Rule: Buy SPY when it is above the 200-day MA for 10 or more days. Sell IEF. Sell Rule: Sell SPY when it is below the 200-day MA for 10 or more days. Buy IEF. Instead of being in cash when the SPY is under the MA200, buying IEF […]
[…]But one can also use weekly returns or daily returns. Results SPY-Sigma SPY-Epsilon Epsilon-Sigma Monthly 0.50 0.02 0.06 Weekly 0.65 0.18 0.23 Daily 0.69 0.23 0.27 As expected there is moderate correlation between SPY and Sigma. But notice how the values change as the timeframe changes. For SPY-Epsilon and Epsilon-Sigma there is negligible correlation. Rolling Lookbacks As we have often heard, when the markets crash correlation goes to one. What one cannot see using the analysis above is this true for these strategies? That is why I prefer to do rolling lookbacks. What one does is compute what […]
[…]Seen Yet – A longer term look at the markets. Our current bull market does not look so great compared to others. I am sucker for pretty charts if you could not tell. Missing What is Missing – A good TED talk about survivorship bias outside the trading world with plenty of application back to the trading world. Mindfulness, meditation and investing – I thought that I would never do it but I started practicing mindfulness about 2-3 months ago and have been surprised by thoughts that jump into my head. Good Quant […]
[…]up. Expectations as a Beta user Provide feedback on what you like and do not like Make suggestions on what you would like to see added Participate in the user forums Try and attend webinars Cost While the program is in beta, the cost is free. Once live the expected costs is between $200 and $800 per year. (SHOULD I REMOVE THE LAST LINE?) Beta […]
[…]trading universe and assuming these stocks were always in the index during your testing period. For example if one were testing back to 2004, GOOG did not enter the S&P500 index until early 2006 at a price of $390. But your testing could potentially trade GOOG during the huge rise from $100 to $300. The Rules I will not be sharing the rules but the general idea. Test is from 1/1/2007 to 6/30/2018. Buy Some trend following rules Stock price is between $1 and $20 Stock is member of the Russell 3000 Sell Trend is broken I made two […]
[…]be a 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 […]
[…]the daily VIX values are divided into five equal sized buckets. From this, we have five ranges to compare against to for our test of entering a stock when RSI2 < 5 and exiting when RSI2 > 70. Good mean reversion returns tend to happen when the VIX is greater than 26.9. Now we will look at the VIX over the years and the average %p/l of oversold stocks. Weak correlation exists to higher VIX leading to higher returns but it is not very strong. I don’t see the VIX being a strong predictor to mean reversion returns. Hold […]
[…]long massage. Then getting beat up by my BJJ friends in class tonight. What a good day! Fill in for free […]
