[…]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 […]
I was 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 “Stock Market Seasonality: A Global Phenomenon” by Jay Kaeppel. The basic idea was that global markets share the same “buy in November and sell in May” 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 […]
[…]on the last trading day of each calendar month. Test dates from 1/1/2010 (when have enough data to trade these ETFS) to 12/31/2023. First Thoughts The strategy seems to look for an up trending market with bonds and emerging markets doing well. I find it strange that it is using emerging markets as a filter and not US market since it is trading US market ETFs. The default of using TLT when markets are not good, which worked great until 2022, is/was a common choice. It will be interesting to see the 2022 numbers. Results I also tested different values […]
[…]with rules that change depending on the market regime. This course will focus on developing adaptive trading strategies using AmiBroker, leveraging the Custom Backtest (CBT) interface introduced in the CBT Intensive Course. At the completion of this course, you can: Learn at your own pace and on your own time About your instructor This course is taught by Matt Radtke. I have worked with Matt for over 9 years. We often consult with each other on AmiBroker questions or projects. Matt Radtke is a trader, researcher, software engineer, and freelance consultant with a focus on helping clients build and test quantified […]
Rotational strategies are a way of always being invested in the “best” securities while only trading at predetermined intervals like monthly or quarterly. In this course, you’ll learn how to build rotational strategies in AmiBroker. Course Objectives Learn at your own pace and on your own time About your instructor This course is taught by Matt Radtke. I have worked with Matt for over 8 years. We often consult with each other on AmiBroker questions or projects. I highly recommend this course to anyone who wants to learn the intricacies of the CBT. Matt Radtke is a trader, researcher, software […]
[…]course to anyone who wants to learn the intricacies of the CBT. Matt Radtke is a trader, researcher, software engineer, and freelance consultant with a focus on helping clients build and test quantified trading strategies using AmiBroker. After earning a pre-internet Computer Science degree from Michigan State University, he spent more than two decades writing software for a variety of companies from small startups to multinational conglomerates like Hewlett-Packard. Mr. Radtke started trading stocks and options in 2007, and later added futures to the mix. In 2010 he was introduced to the concept of quantified trading by Larry Connors, and […]
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[…]programming and backtesting ideas in AmiBroker since 2001. For 9 years, he was the Director of Research for Connors Research where he created hundreds of trading strategies. He has taught AmiBroker at weekend trading seminars. Cesar will teach you how to use advanced features in AmiBroker. People have paid $1,000s and $10,000s to learn from Cesar. Included In The Course Prerequisites Both Amibroker 101 & 201 are fantastic courses that are packed with excellent information and Cesar is genuinely interested in making sure his students get all their questions answered and have a good understanding of the material presented. The […]
[…]the results and create trading signals for it. We will code from beginning to end a strategy with a compounded return of more than 20% from 2004 to 2013. Imagine the world of new trading strategies that you could create with new found knowledge. Learn at your own pace and on your own time. About your instructor, Cesar Alvarez Cesar has been programming and backtesting ideas in AmiBroker since 2001. For 9 years, he was the Director of Research for Connors Research where he created hundreds of trading strategies. He has taught AmiBroker at weekend trading seminars. Cesar will teach […]
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