Quantitative analysis, research and trading strategies in the financial markets in all time frames
Yesterday (11th of July) SPY gapped up over 1% after finishing strong over the previous days. Here is a potential strategy for the short side: Yesterdays close must be at 10 day high (of the close, not the high) Today SPY gaps up at least 1.5 times the aboslute value
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I have been backtesting swingtrading (holding positions 1-5 days) for many years. But because I have done fairly well in daytrading, I didn’t really put a lot of effort into swingtrading. I never really started. But when my daytrading got sour in 2011, I was kind of “forced” to try
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I have previously written some articles about the possibility of making money daytrading: My Numbers 2002-May 2012 Automated Trading Tuco Trading From mid 2011 until mid 2012 I was going through a tough time trading. I hardly made any money. At the same time I was moving to foreign country
Continue readingThis has been a pretty bad week for my daytrading. Yesterday, thursday, I recorded my 4th day in a row with losses. The loss was significant as well. I couldn’t remember the last time I had 4 days in a row! Looking through my records I discovered this is the
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(Some personal and random thoughts on daytrading) I have daytraded for over twelve years and I still like what I do. Actually, I love it! Daytrading is some kind of addictive. I need my daily shot with research and trading. My day is simply not the same if I don’t
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Here is the strategy: Today is friday. Yesterday (thursday) was down more than -0.15% and today also more than -0.15%. 0.15% is used to have some wiggle room because you have to send the orders before the market closes. Exit after two days on the close (usually on tuesdays). Test
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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
Continue readingI 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
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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
Continue readingTo 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
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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
Continue readingI 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
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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
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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
Continue reading….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
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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
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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
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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
Continue readingThe 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
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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
Continue readingOne 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
Continue readingI’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
Continue readingS&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
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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
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I have previously written one article about the possibility of making money in daytrading: 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
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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
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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
Continue reading2012 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
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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
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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
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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
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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
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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
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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
Continue readingThis 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
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