Quantitative analysis and strategies in the financial markets
The Relative Strength Index (RSI) was developed by Welles Wilder and first introduced in a magazine called Commodities (now Futures) in June 1978. Wilder published a book in the same
Continue readingIn a series of articles, we want to test different indicators and trading techniques. Almost all indicators are “proved” by anecdotal evidence, and rarely quantified. That’s perhaps not a coincidence:
Continue readingPenny stocks attract a lot of attention, both among investors and traders, but also among scammers, unfortunately. The traps are many, and we recommend to stay away from penny stocks.
Continue readingWe don’t recommend scalping. Scalping involves competing with better-equipped traders and institutions, you need to deal with lots of randomness, and you most likely end up both wasting your time
Continue readingHaving some kind of an edge in the markets is crucial to make money. The financial markets are a competitive place where amateurs and beginners are easy prey for the
Continue readingThis website is all about quantified strategies, often called algorithmic strategies. But what exactly are quantified strategies? Quantitative/quantified strategies defined: Quantitative strategies are strategies based on finding inefficiencies in financial
Continue readingThe Internal Bar Strength indicator (IBS) has worked remarkably well for over two decades. We can only guess why, but the stock market has been highly mean-reverting during this period,
Continue readingBack 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
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
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.
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
Continue reading20+ treasury bonds show a significantly different performance depending on the day of the week. Assume we start with an account worth 100 000 and hold for one day: Mondays
Continue readingSome days ago I published an article that rotates between SPY, TLT, and EEM based on monthly momentum. Let’s test how this strategy performs when rotating between SPY and TLT:
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
Continue readingBelow is a simple and easy trading strategy to implement in SPY or the S&P 500: IBS (internal bar strength) must be lower than 0.25 (using daily bars). RSI (21)
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
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
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 ago I wrote
Continue readingRob Hanna at Quantifiable Edges had an interesting article some days ago about bounces in the S&P 500. I made some changes to his strategy and ended up with these
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
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Below is a potential short strategy in the 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 is higher for the third time
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
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 descending order and got
Continue readingOne very simple strategy for QQQ/Nasdaq: Today is Monday OR Tuesday. IBS (c-l/h-l) is 0.1 or lower. If conditions 1 and 2 are fulfilled, go long at the close. Exit
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Rob Hannah published last week a potential strategy on his blog. I put a twist to it and made the following strategy: Today’s intraday high must be higher than the
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The internal bar strength is defined as follows: (close-low)/(high-low). Here is the strategy tested on XLP: Yesterday’s IBS must be lower than 0.15. Today’s IBS must be lower than 0.4.
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I like to trade 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
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Russell 2000 rebalances their holdings at the end of June every year. Here is what they say about rebalancing: June is the month that the preliminary reconstitution portfolio is communicated
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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.
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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.
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Criteria for entry: If RSI(2) is less than 15, then enter on the close. Exit on close if today’s close is higher than yesterday’s high. Here is the accumulated profit
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
Continue readingIn July 2012 I published a strategy about an end-of-month strategy in the S&P 500. Here are the criteria: Entry: Day 29, 30 or 31 of the month must be
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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
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Here is a simple mean reversion twist in SPY: SPY must be down 3 days in a row (from close to close). Entry on close on the 3rd down day.
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