Quantitative analysis, research and trading strategies in the financial markets in all time frames
Back in 2016 I published an article on using short term RSI (relative strength index) on SPY. Let’s test how a slightly different strategy performs on QQQ: RSI(2) must be lower than 10. IBS must be lower than 0.2 (read here for an explanation of IBS). If both 1 and
Continue readingToday I came across an unpublished article I started way back in 2012. The strategy is as follows: Calculate a moving average of the last 15 days’ closing price. Calculate the average true range (ATR) of the last 15 days. Subtract 2 multiplied by 1.5 from number 1 (1.5 times
Continue readingThis week I came across this blogpost by Nick Maggiulli. The blogpost is based on the “All Weather Portfolio” developed by Ray Dalio and his firm Bridgewater Associates, one of the biggest hedgefunds in the world. Dalio’s firm has spent a considerable time to develop a portfolio that does well
Continue readingWe are now entering the best month over the last 20 years in long-term treasuries (TLT) – August. From the last closing price of July until the last in August the average has been a pretty solid 3.23%. This is substantially more than any other month. Four months/years have shown
Continue readingOver the last weeks I have written three articles about monthly momentum in TLT, SPY and EEM: Monthly momentum in SPY, TLT and EEM. Monthly momentum in SPY and TLT. Monthly momentum in SPY and EEM. The first two strategies seem to perform reasonably well. Many investors seek to minimize
Continue readingI have over the last week written two articles about momentum: Monthly momentum in SPY, TLT and EEM. Monthly momentum in SPY and TLT. The third looks at rotating between the two most popular stock ETFs: SPY and EEM. The assumptions are like this: It’s based on monthly data in
Continue reading20+ treasury bonds show a significant different performance depending on the day of week. Assume we start with an account worth 100 000 and hold for one day: Mondays (from close Friday to close Monday): 58 072 Tuesdays: 19 077 Wednesdays: -16 986 Thursdays: 944 Fridays: 137 862 Clearly, Fridays
Continue readingSome days ago I published an article which rotates between SPY, TLT and EEM based on monthly momentum. Let’s test how this strategy performs when rotating between SPY and TLT: It’s based on monthly quotes in the ETFs SPY and TLT. Every month rank both based on last month’s performance.
Continue readingBelow is a very simple and easy strategy to implement: It’s based on monthly quotes in the ETFs SPY, EEM and TLT. Every month rank them based on last month’s performance and go long the best performing. Hold for one month and repeat (or continue being long the same instrument).
Continue readingBelow is a simple and easy trading strategy to implement in SPY or S&P 500: IBS (internal bar strength) must be lower than 0.25 (using daily bars). RSI (21) must be below 45. If 1 and 2 are fulfilled, go long at close. Exit when close is higher than yesterday’s
Continue readingBelow is a simple and easy trading strategy to implement in QQQ: IBS (internal bar strength) must be lower than 0.25. RSI (5) must be below 25. If 1 and 2 are fulfilled, go long at close. Exit when close is higher than yesterday’s high (you can use higher than
Continue readingIn 2018 I wrote about a potential Monday/Tuesday trade strategy in Nasdaq. How has this strategy performed during the Covid-19 mess? Pretty good, actually. I’ve been trading this strategy, with these parameters: Today is either Monday or Tuesday. Internal Bar Strength (IBS) is 0.15 or below (Google IBS if you
Continue readingMost traders and investors have heard that you need to sell in May and go away. Is this just a myth or is it correct? Three years a go I wrote an article about this, but this article covers a longer time span. Let’s find out by looking at the
Continue reading
Some weeks ago I published an article about what investors and traders can learn from Atul Gawande’s The Checklist Manifesto. I like to take notes when I read (see my notes on the pic to the left, excuse my eight-year old handwriting). I believe this is a fantastic resource to
Continue reading
Charlie Munger likes to think inversely. Inverse thinking simply means focusing on the things you don’t want to happen. Munger didn’t invent this concept, but he has made it immensely popular. While Munger turns the question on its head, he touches upon a very important aspect: how to avoid mistakes.
Continue readingAugust has historically provided good returns for owners of 30-year US treasuries. I read about this seasonality many years back, but I’m quite surprised it still seems to be working pretty good. Below is an equity chart showing the return buying 200 shares in TLT at the close in July
Continue reading
Below is a potential short strategy in S&P 500: Short= C>Ref(C,-1) AND Ref(C,-1)>Ref(C,-2) AND Ref(C,-2)>Ref(C,-3) AND ADX(5)>35 AND RSI(2)>90 Description: If the close if higher for the third time in a row, 5 day ADX is bigger than 35 and RSI(2) is bigger than 90, then go short on the
Continue readingI often receive e-mails from potential traders that want to get “rich” trading. I tell them to instead consider investing their capital for long-term appreciation, preferably via passive or active mutual funds. This is why: Most short-term traders end up losing money, not making money. If you invest in a
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 reading
Rob Hannah published last week a potential strategy on his blog. I put a twist to it and made the following strategy: 1. Today’s intraday high must be higher than the previous 5 day high. 2. IBS must be lower than 0.15 (IBS is (c-l)/(h-l)). 3. Exit when today’s close
Continue reading
Internal bar strength is defined as follows: (close-low)/(high-low). Here is the strategy tested on XLP: Yesterday IBS must be lower than 0.15 Today IBS must be lower than 0.4 RSI(5) today must be lower than 50 Entry on close Exit when today’s close is higher than yesterday’s high Here is
Continue reading
I like to trade the boring stocks. Today I picked 19 random (but liquid) low beta stocks (boring stocks) and tested a rotational system in Amibroker (of course with a bit of survivorship bias). Here is the code: SetBacktestMode( backtestRotational ); SetOption(“initialequity”,30000); SetOption(“commissionMode”,3); SetOption(“commissionAmount”,0.03); SetOption(“MaxOpenPositions”,2); SetOption(“WorstRankHeld”,5); SetPositionSize( 50, spspercentofequity );
Continue reading
Sell in May and go away must be one of the most famous phrases in the stock market. But is it correct? This is the first time I test this. There is a lot of academic empirical evidence showing this anomaly has been in existence for many decades, both in
Continue reading
Sell in May and go away must be one of the most famous phrases in the stock market. But is it correct? This is the first time I test this. There is a lot of academic empirical evidence showing this anomaly has been in existence for many decades, both in
Continue reading
Criterias for entry: If RSI(2) is less than 15, then entry on close. Exit on close if todays close is higher than yesterdays high. Here is accumulated profit curve from 2005 until september 2016: Average per trade is 0.46%.
Continue readingIn 2013 I wrote an article about big moves on mondays. Here is a twist (and update) on this: Calculate a 25 day average of (h-l)/c Today is monday Close today must be at least lower than (from friday) 0.25 of average in number 1 (c-l)/(h-l), the so called IBS,
Continue readingIn July 2012 I published a strategy about an end of month strategy in S&P 500. Here are the criterias: Entry: Day 29, 30 or 31 of the month must be negative. Then enter on close. Exit: Two successive positive closes in a row, OR SPY hits a 1% target.
Continue reading
A lot of the best traders (at least the ones I know) use some kind of mechanical rules in their trading. “Mechanical” implies that the rules are based on some kind of objective rules, usually quantified data. The trader should follow these rules exactly without hesitation or emotion. In this
Continue readingMost traders focus on developing strategies in order to make money. So do I, there is no other way around. However, your mindset is often “the missing link” in order to perform better. To get steady returns you have to focus on the mental part just as much as the
Continue reading
Here is a simple mean reversion twist in SPY: SPY must be down 3 days in row (from close to close). Entry on close on the 3rd doen day Exit next day open Here is the equity curve from 2005 until present (the pink line is for short but using
Continue reading
Larry Connors have written a strategy called the double 7. This is a very simple strategy with just two rules. The less rules, the better, because less probability of curve fitting. This strategy is based on 7 days low (and high for exit), but in my testing it seems to
Continue reading
What happens after an “extraordinary” big fall in SPY? Calculate the average H-L range over the last 25 days (in per cent). If the ETF falls more than 2 times this average, enter at close. Exit at tmorrows open, tomorrows close or after 3 or 5 days. Test period from
Continue reading
I’m trading SPY, but until now I have not paid any attention to its volume until I saw this article. The result was interesting, but on second thoughts it makes sense. Why? Because a lot of SPY trading is hedging. I trade SPY every day in my daytrading simply for
Continue reading
Yesterday SPY opened at 5 day low, but rose from the opening price to close higher. Here is the strategy: SPY must open at a 5 day low. Close must be higher than open. If 1 and 2 fulfilled, entry on close Exit tomorrows open I have previously written about
Continue reading
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
Continue reading