Quantitative analysis, research and trading strategies in the financial markets in all time frames
I’ve been quiet for some time, both for day- and swingtrading. The reason is quite simple: In January 2018 I decided to take a one year sabbatical from daytrading. Two years later and I’ve still not made any efforts to get back into the game. And, quite frankly, I doubt
Continue readingI had a brief look at the distribution of my trading profits over the last four years. I simply ranked my net profit per day in a descending order and got the following result: % best days 5% 10% 15% 20% 25% % of P/L 0.32 0.53 0.70 0.83 0.96
Continue readingOnce in a while I get an e-mail from readers asking for advice if they should go out on their own and start trading full time. But before you do that you have to ask yourself the following: 1. Are you currently consistently profitable? If not, why do you think
Continue readingThis article covers the newly implemented 5 cents spread in certain stocks and how that has influenced my P/L (negatively). Background: On October 3 in 2016 SEC implemented the Tick Size Pilot Program. Put short, there will be a minimum 5 cents spread in specified stocks. The entire idea behind the
Continue readingMy previous post on how I screw up by second guessing my strategies made me change my trading habits (for the better). I have taken two actions for my daytrading: After the open I make sure my Excel program are running (I enter positions completely automatically). Then I go outside
Continue readingI keep a detailed log on all my trading activities, both daytrading, swingtrading and long-term positions. I believe this is the only way I can improve my trading. However, doing all this “extra” work is not exactly the most interesting job on this planet, but I believe by far the
Continue reading
Articles about daytrading has about twice as many hits than other articles (on this website). What’s so appealing with daytrading? Is it that most people think it’s easy money? It’s not, rather the opposite. Is it the adrenaline rush? It shouldn’t. The more “boring and dull” you make daytrading, the
Continue reading
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 reading
(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
Continue reading
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 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
Continue reading
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
Continue reading
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 reading
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
Continue reading
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
Continue readingToday SPY opened down about 0.8%. From then it has fallen even more, and in time of writing is down 1.5% since the open. A quite tough day for the longs. Looking at what has happened on similar days since January 2010 (open more than 0.7% down and falling more
Continue reading
I had a look at my performance on one of the new strategies I’ve implemented over the summer and fall. Here is the previous first two posts I wrote: Part 1 Part 2 I started trading this strategy live in July with the lowest minimum size I can possibly trade.
Continue readingHere is the hypothesis: if SPY rallies from the open and until the last hour, can we make money by going long one hour before the close and exit on the close? Previously I have written about the different periods of the trading day: At what time of day does
Continue readingBeing a daytrader is a struggle, so I have lately broken down the trading day into performance during the first hour, the middle of the day and the last hour. Previously I have written two articles about when SPY establishes the high and low during the trading day: At what
Continue readingI have previously written to articles about when SPY sets high and low during the day: At what time of day sets SPY high and low? Intraday high and low in SPY by weekday I’m trying to find something tradeable out of these simple numbers but it’s not easy. However,
Continue readingI decided to look more into opening gaps in SPY (S&P 500). After all, a lot of traders claim to make good money on this strategy, at least according to my search on the web. For me this is unknown territory as up until this date I have only been
Continue readingThe opening gap strategy I published last week showed promising returns. However, can we trust the data? The test was performed on EOD data from Yahoo! (open, high, low and close per day). Today I have downloaded 30 mins data from IQFeed. The test period is the same: 1. January
Continue readingSearching on the internet you can find a lot of articles on how to play the opening gap of S&P 500. Today I did my personal twist on this strategy. Over the last two months I’ve been trading a similar strategy, but not exactly the same as the one I’ve
Continue readingWhen I summarized my trading from 2002 to may 2012, I looked at how much of my daytrading profits were generated from the best trading days. Before I did the analysis, I expected the “grinding” (ie. the small profits every day) to be my greatest asset in trading. It turns
Continue readingSome days ago I wrote about a new daytrading strategy I have implemented. This morning I had a second look at it and decided to test it using some of the stocks I did not pick to my portfolio list. I simply picked 31 random stocks out of the 365
Continue reading
Over the last several months I have been looking into a new potential daytrading strategy. This one looks into more illiquid stocks and therefore I won’t reveal the strategy: It’s simply not enough volume for many traders to trade the same. So why do I bother to publish it? I
Continue readingIn one of my current strategies I was filled en masse today. Ususally that strategy gives me on average 4 fills a day, but today I got 59 fills. Quite unusual! So I stopped the program because I suspected something was wrong. Having continued the program I theoretically would have
Continue readingSome days back I wrote about daily seasonality in S&P 500. As a proxy I use SPY, an ETF. As I have been trading for some years I have noticed there is often a reversal on tuesdays. Actually, this “fact” is well researched over the years. However, I want to
Continue reading
I am Norwegian, and living in an obscure former soviet country, but are mainly trading US stocks. Why? There are several resons. Here I will mention what I consider the main reasons: A big stock universe. There are a lot of liquid stocks and a lot of illiquid stocks among
Continue reading
Yes, the headline is correct. It is actually possible to have a net income from commissions. This is called rebate trading. The aim of this trading is not to actually make money from the movement of the price (at least not only that), but to receive money from the ECN
Continue reading
If you want to do well in daytrading you have a big advantage the better you know yourself. Otherwise, it could cost you dearly. You must know your weaknesses and strengths. This may sound obvious but after trading for many years I know this all too well. But with experience
Continue reading
As you can see from my profitability graph over the last ten years, the latter third shows a diminishing return. Unfortunately for me, the market has changed quite dramatically from 2011 and I have yet to cope with that. I struggled in the first half of 2011, and in june
Continue reading
My simple answer is: yes, of course. This is the first article of many where I will try to actually give some hard evidence of how many are making money, who are making money and how much, for good or worse. Today I will reveal my own numbers from 2002
Continue reading
In a previous article I wrote about the advantages and disadvantages about living in Eastern Europe. By moving you might stumble into tax problems. This article tries to explain very short the implications. However, I am not a tax accountant so please do your own research. This article is
Continue reading
In december 2010 I moved permanently to Latvia. Now I am the lucky owner of a very nice house and garden just outside Riga for 1/5 of the price compared to Oslo (where I moved from), and I can enjoy the very nice summers in the garden or in Jurmala.
Continue reading