[β¦]I have been noticing renewed interest in leveraged ETF trading. More clients are coming to me to test out leverage trading ideas. I have been testing my own ideas. What I liked about this strategy is that it moved between leveraged ETFs, non-leveraged ETFs and TLT. The Strategy On the last trading day of each calendar month: Buy Rules VIX is less than or equal to 25 S&P 500 is greater than 200 day moving average VWO has positive 1-3-6-12W momentum BND has positive 1-3-6-12W momentum The 1-3-6-12W momentum is the average of 1 month return times 12, 3 month [β¦]
[β¦]match your personality And most important, the advantages of having a trading buddy Click here to download the [β¦]
[β¦]how mean reversion is doing. The Idea Using SP-500 index data back to inception in 1957, I wanted to compare how the index did 1 & 5 days after either being in an over-sold or over-bought condition. Why back to 1957? I was curious to see how markets behaved then but mostly care about the last 15 years. Why 1 & 5 days? Because that is the typical holding period of my mean reversion strategies. Test date range: 1/1/1957 to 11/30/2023. Entry and exit occur at the close. No commissions. Β 2-Period RSI One Day Later The blue bars β0-19β [β¦]
Thank you for your purchase of AmiBroker 101. You shortly be receiving an email from me on how to download your first class. If you do not receive that email or have problems with the download, use the Contact Me form to tell me your issue. Anytime during the course, feel free to ask me questions about topics covered or general trading. Thank you and [β¦]
[β¦]which started on October 2023 has been strong. My trading buddy and I started wondering how this compares to the past. Is this a βnormalβ strong rally or an βabnormallyβ strong one? Determining this is always tough because it depends on the indicators you use. Because of that, I tried lots of them. This will be a post short on words but with lots of tables. Where are we now? Data is from 1/1/1980 to 12/19/2023. The close of 12/19/2023 was the 36th day of the rally. These are the stats based on these last 36 days. 18 days with [β¦]
[β¦]and search/replace. But it does have my main two features that I like: code folding and auto-complete. Code Simplicity For simple strategies, it takes about 20 lines of code in Quantopian vs 5 lines in AmiBroker. But once you get into more complex strategies, I found that number of lines of code being about the same. As to which code is easier to write and read, that is a personal preference. I find both Quantopian and AmiBroker code easy to follow. Community The forums for any product are important because this is where you go to learn and get your [β¦]
[β¦]most of this period. Because of this, most people use synthetic data for before their inception to test the bear market scenarios. I will be using the data from Six Figure Investing which has synthetic data back to 2005 for both.Β A comparison of the daily return of the synthetic vs real data from 2011 to 2014 has a correlation of 0.999+. In the next post, I will investigate if this is good enough. One big issue with the synthetic data is that we only get a closing price. I am not a fan of trying to enter at the [β¦]
[β¦]a market timing indicator that I read about it. It was showing some promise and the next step was to compare it to my benchmark. My benchmark is using the 200-day moving average. But an additional rule removes a lot of the whipsaws that can happen. After doing the comparison, the market timing indicator compared well. But then I realized I had not written a blog post about my additions. I touched on it in the Market Timing with a Canary, Gold, Copper, LQD, IEF and much more post. For me, the goal of using the 200-day MA to trade [β¦]
[β¦]going through some old issues of Technical Analysis of Stocks & Commodities looking for some ideas to test. In the November 2019 issue, I came across βStock Market Seasonality: A Global Phenomenonβ by Jay Kaeppel. The basic idea was that global markets share the same βbuy in November and sell in Mayβ phenomenon as the US market. This got me thinking about how markets have changed since 2012 or so. My theory is that before 2012, this pattern was better than either buy and hold or other start and end months. But after this time, buy and hold or longer [β¦]
[β¦]the Bull Regime. To end that Bull Regime, I looked for the first bear market after the March 2000 top. To end the 2000βs bear market, I then looked for the first end of a bear market in 2012. Now these dates are somewhat arbitrary but they cover a length of at least 10 years and feel about right. 20% Drawdown Wow, this turned out to be way more informative than I expected. A clear difference between Bear & Bull Regimes. Both in percentage of time in a bear market and the average depth of the bear market. Looking at [β¦]
