When SPY Closes On 20 Day High On Mondays And Tuesdays
| May 22, 2013 | Posted by Oddmund Grotte under strategies |
This article is an idea from this blogpost: SPY closes higher than the previous 20 day close (not the 20 day high) Today is either monday or tuesday Go short at close Exit at tomorrows open This works for all days except for thursdays. This is the results for mondays from 2005 until february 2013:…
How I Allocate My Capital And How Commissions Grab My Gross Profits
| May 15, 2013 | trading topics |
I have received some e-mails about how I allocate my capital. I admit that this is a problem and quite a difficult task. Sometimes I have no positions on, suddenly all my signals trigger and the allocation becomes a problem. My aim is to trade different stocks that correlates as little as possible. Of course,…
Big Moves On Mondays
| May 9, 2013 | strategies |
I caught some ideas from Paststat and Quantifiable edges to test “big” movement on mondays. I have tested this in a previous post, but this time we’ll look at what happens to SPY the rest of the week. Here are the criterias for long: Today is monday Calculate a 25 day average of the daily…
I Never Take My Losses Quickly
| May 5, 2013 | trading topics |
To get inspiration and motivation I read a lot. Not only trading books but also from other completely different topics. Actually, I learn more from books which is not related specifically to trading. Other fields can be related to trading so no need to only read trading books which more or less are 80% the…
When XLP Diverges From Recent High And Low: A Close To Close Strategy
| April 16, 2013 | strategies |
A while back I wrote about a daytrading strategy in SPY. This one works pretty well on XLP as well, with some modifications: Calculate a 25 day average of the (High minus Low). That is the “ATR”. Calculate the Low of the last 10 days. Calculate the (C-L)/(H-L) ratio every day (IBS). Calculate a band…
The Fear Of Losing Increases As I Get Older
| April 7, 2013 | Posted by Oddmund Grotte under trading topics |
I have daytraded for about 12 years, doing swingtrading some 5 years prior to that. And as the headline suggests my fear of losing increases as I get older. Why is that? I think it’s just natural. I know a lot more now than 12 years ago as my knowledge of the financial markets increases…
How To Make Money From The Close Until Tomorrow’s Open In Spy/S&P 500, Part 2
| March 25, 2013 | Posted by Oddmund Grotte under strategies |
In November 2012 I summarized some strategies when holding from the close until tomorrow’s open. These strategies have worked well since I publsihed it. Today I have another one. It’s based on the same principles as this strategy. Here are the criterias: Calculate a 25 day average of the (High minus Low). That is the…
The Way of The Turtle – Curtis Faith
| March 17, 2013 | Posted by Oddmund Grotte under literature |
I have just finished reading Curtis Faith’s The Way of The Turtle (for the second time). This is a very good book! If you’re a beginner or not very experienced this would be one of the 5 trading books I would recommend. Put short, I recommend this book because of one thing: Faith describes in…
Unforeseen Things No Testing Can Capture….
| March 11, 2013 | Posted by Oddmund Grotte under trading topics |
….Happened today. Even after trading for so many years, and mostly trading US time, one of this unforeseen things happened today: Yesterday the US turned the clock one hour forward (sunday 10th of March). And yet again this comes as a total surprise to me. I thought I was paying attention to details, but obviously…
How To Find Ideas To Test
| March 10, 2013 | Posted by Oddmund Grotte under trading topics |
Once in a while I receive e-mails from readers wondering how they can get ideas to test. In order to find profitable strategies you need to test a lot. Looking at my history I guess about 19 of 20 ideas are useless. Even worse, those 1 in 20 potential profitable ones, many turns out to…
When SPY Falls 2 Times More Than Average Change
| March 4, 2013 | Posted by Oddmund Grotte under strategies |
Here is a simple strategy in SPY: Calculat the absolute value of the % change from todays close from yesterday close (c2c) Calculate a 25 day average of number 1 When SPY falls more than two times the number in number 2 from Close to Close (c2c), then go long at the close Exit on…
SPY/S&P 500: Yesterday Was A Down Day And Today Opens Down
| February 26, 2013 | Posted by Oddmund Grotte under daytrading |
Some weeks ago I wrote about a potential daytrading strategy in XLP. This is the similar test done in SPY: Yesterday the formula (c-l)/(h-l) must have been lower than 0.1. Today SPY opens down. If these two simple criteria are fulfilled, then go long at the open and hold until close. This is the result…
How Much Pain Can You Take? Risk, Hindsight, Consistency And Paper Trading
| February 24, 2013 | Posted by Oddmund Grotte under trading topics |
The risk is real, and trading is not easy. The above quote is from page 110 in Curtis Faith’s The Way of The Turtle. A great book! This sentece captures the essence about trading: a very difficult endeavour that ultimately leaves your inner strength exposed. It all looks so easy when looking at fictive equity…
A Different Approach To Money Management
| February 21, 2013 | Posted by Oddmund Grotte under trading topics |
Ever so often I read how important risk management is. Yes, it might be important but my experience has told me it’s of no use to predefine risk and AFTER make strategies based on your risk tolerance. In my opinion that is doing it backwards. I have tested thousands of trading strategies (I test around…
Don’t Waste Your Youth Dreaming
| February 17, 2013 | Posted by Oddmund Grotte under trading topics |
One of your most precious assets is your time. You only live once. Make sure you make it worthwile! Before christmas I received an e-mail from someone who has been trading for several years, but with little financial results to speak of. I could feel his frustration as he was writing this mail. Probably his…
In The Long Term It Pays To Be Contrarian
| February 10, 2013 | Posted by Oddmund Grotte under trading topics |
I’m a subscriber to the The Economist. Being a libertarian, this is the best newspaper there is, even though it’s not perfect and over the years have become a bit more leftist (?). Still, I strongly recommend it. In the January 12th 2013 issue there is an interesting article on page 59 (I can’t find…
When SPY Diverges From Recent High And Low: A Daytrading Strategy
| February 3, 2013 | Posted by Oddmund Grotte under daytrading, strategies |
S&P 500 has historically a strong tendency to revert to the mean. I’m looking to find a way to fade the gap. My research has indicated that fading the gap is best after a strong move to either direction. Here are the criterias for a reasonable solid fade the gap strategy: Calculate a 25 day…
Negatively Skewed Trading Strategies
| January 27, 2013 | Posted by Oddmund Grotte under trading topics |
Some years ago I traded with Echotrade. I remember what one of its principals said about new pair traders that started trading with them: oh no, he’ll make a lot of steady money, but ultimately he’ll lose it all, and perhaps even more. His experience was based on the objective numbers from the firm:…
Is It Possible To Make Money Daytrading? Part 3: Tuco Trading
| January 20, 2013 | Posted by Oddmund Grotte under daytrading |
I have previously written three articles about the possibility of making money in daytrading: My numbers Algo trading In general term I think it’s safe to conlude the following: The majority of daytraders lose money, certainly new ones. The turnover of daytraders is very high. The longer you survive, the better odds for making a…
A Simple Pair Trade Strategy In Liquid ETFs
| January 13, 2013 | Posted by Oddmund Grotte under strategies |
This sunday morning I was just testing some ideas on these different ETFs: SPY, EEM, EWG, EWU and EWJ. They seek to copy the performance of the most important stock exchanges in the world. I tested the following: Every day rank each ETF based on this formula: (c-l)/(h-l) Buy on the close the one with…
Trade The Boring Consumer Stocks When They Open Down And Yesterday Was A Down Day
| January 7, 2013 | Posted by Oddmund Grotte under daytrading, strategies |
Hmm, that was a long headline, which probably won’t catch many readers. Anyway, here is the strategy based on the ticker XLP: Yesterday must have been a down day of at least 0.25%. If XLP opens down more than 0.1% today, go long and exit on the close. Fairly simple rules. Here is the result…
Keep Trading As Simple As Possible
| January 2, 2013 | Posted by Oddmund Grotte under trading topics |
2012 is history. It was a decent year for me both personally and professionally. Tradingwise I improved a lot compared to 2011 which was a disaster and kind of a wasted year. 2012 showed a really nice development in the second half. I managed to pull some solid days in my daytrading. Remarkably, all this…
My Best Daytrading Stock Is The Most Boring Stock
| December 19, 2012 | Posted by Oddmund Grotte under daytrading, trading topics |
Many daytraders are thrillseekers. Too bad, because I think the best stocks are those that are most boring. I haven’t really thought much about it until this fall, but after starting reading a lot of academic papers I have realized the following: I basically only daytrade stocks that have a low beta/low volatility. If I…
The Greatest Gold Stock System You Should Trade
| December 13, 2012 | Posted by Oddmund Grotte under strategies |
Jay Kaeppel wrote last week an interesting post about gold stocks: The greatest gold stock system you’ll probably never use. I have a twist to this system which I’ve been trading for some weeks. Since Kaeppel has published it I might as well publish it myself. And it’s so simple and the results are so…
Shorting Oil When Dollar Rises
| December 12, 2012 | Posted by Oddmund Grotte under strategies |
The price of oil is seen as a hedge against a falling dollar. If the dollar falls, oil should rise (or vice versa). What happens next day if they go in tandem? If the dollar rises more than 0.25% (using UUP as a proxy) from yesterday’s close until today’s, and USO also rises 0.25%, go…
The Friday Seasonality in USO (oil)
| December 10, 2012 | Posted by Oddmund Grotte under trading topics |
One famous seasonality in the oil market is the tendency for the oil price to rise on fridays. However, it seems like just buying on any thursday’s close is not such a good idea. It works better if thursday is a down day. I get the following result if buying on the close of a…
When Gold Gaps Up Or Down
| December 6, 2012 | Posted by Oddmund Grotte under daytrading, strategies |
Previously I have only daytraded stocks and traded SPY/ES. Over the last couple of months I have also had a look at GLD, and I’ve been trading this ETF. GLD resembles the price of gold bullion. I’m not a gold bug, instead I prefer to invest in real estate to hedge for monetary inflation, but…
December Seasonality In OBX (Oslo Stock Exchange)
| December 3, 2012 | Posted by Oddmund Grotte under strategies |
Below you can find the gain each year from 1997 until 2011 in OBX. It’s divided in two: The whole of December and the 2nd half of December. The 2nd half is from the close of 15th or the day before if 15th was on a weekend. OBX consists of the 25 most traded securities…
How To Make Money From The Close Until Tomorrow’s Open in SPY/S&P 500
| November 29, 2012 | Posted by Oddmund Grotte under strategies |
This post have some simple suggestions on potential strategies from the close until tomorrows open in SPY (the test period is from October 2005 until present). This post is a summary of all several tests I have done on strategies with entry on close and exit on next day’s open (so far). The best strategy…
Is Trend Following Dead (again)?
| November 25, 2012 | Posted by Oddmund Grotte under trading topics |
On the internet and in the blogosphere there are a lot of articles saying trend following is dead. The reason is as usual due to lack of returns over some period of time. As far as I can see, most of the “wizards” in trend following are having a really bad year. This is on…
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