Quantitative analysis, research and trading strategies in the financial markets in all time frames
Last week was rather rough for the stock markets all over the world. In the first four days S&P 500 lost more than 4%. Media is of course full of negative and scary articles and it’s easy to lose the big picture. But according to my calculations a weekly fall
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 readingOne very simple strategy for QQQ/Nasdaq: Today is monday OR tuesday IBS (c-l/h-l) is 0.1 or lower If condition 1 and 2 are fulfilled, go long at close Exit on the first close higher than yesterday’s high (code in Amibroker is c>ref(h,-1)) This is all there is to it. Here
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(Article Written by Oscar Wilkinson) Effectively investing in the stock market takes time, experience, knowledge, patience, and the confidence to invest money in what can be an extremely volatile market. That said, it’s not surprising to learn that few millennials are bold enough to risk their hard-earned cash in stocks.
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 is off-topic, but in my opinion quite important: International regulators, lead by the EU and the USA, are increasingly taking steps to clamp down on money laundering and pushing banks to better KYC (know your customer). According to regulators, money laundering is widespread and very common. Personally, I
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For years I have been trading (semi-automatically) using a simple script in Excel. Having focused solely on stocks since 2001, I decided to start looking into futures in early 2017. Excel is not exactly the best program for automated trading, so I decided to use one of the many platforms
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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: 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
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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
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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 );
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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 to the marketplace. Beginning on June 9, preliminary lists are communicated to the marketplace and updates are provided on June 16
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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. There is a lot of academic empirical evidence showing this anomaly has been in existence for many decades, both in
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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. There is a lot of academic empirical evidence showing this anomaly has been in existence for many decades, both in
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
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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.
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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 kind of objective rules, usually quantified data. The trader should follow these rules exactly without hesitation or emotion. In this
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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 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
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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 readingChapter 4 in Victor Niederhoffer’s book Education Of A Speculator starts like this: There are so many ways to lose, but so few ways to win. Perhaps the best way to achieve victory is to master all the rules for disaster and then concentrate on avoiding them. Some days ago
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I have finished rereading David Aronson’s book Evidence- Based Technical Analysis, Applying the Scientific Method and Statistical Inference to Trading Signals, a book I bought back in November 2007. This is no easy read and a bit technical, but worthwile it’s money. The book is very good for those who
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I thought I would share my 6 favourite trading books (I have about 75 trading books). Perhaps it’s a bit strange to have 6 and not 5 but I found 6 books that deserves to be mentioned, not 5. Bear in mind I have not bought a trading book for
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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
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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
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Many years ago I bought this book. It’s not about trading, but about poker and selling. However, all the elements are relevant for stock traders. Besides, this book is much better than all other books I’ve read about psychology. The author is no academic, but a successful salesman and hobby
Continue readingThe above title is a quote from George Soros. I got this quote in an e-mail from a reader of my blog, and it fits quite well for my swingtrading performance in august. In July I wrote about my performance. It was good. Very good until the end of July
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I like to keep good records of my trading. It’s tedious and for many boring to get these data, but usually your broker/clearing firm have a lot of interesting data. This morning I had a look at some random numbers from my clearing sheets (I also wrote about this in
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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
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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 readingHere are some more random “gibberish” from me about trading. This morning I had a look in one of the old Market Wizards book by Schwager. William Echardt on page 127 and 128 said the following: I haven’t seen much correlation between good trading and intelligence….Many outstandingly intelligent people are
Continue readingHere are more personal random thoughts on trading: I saw a discussion on Twitter the other day about data mining and backtesting. Put short, one trader trades different strategies for different instruments/stocks. The other trader belives this is data mining. For example: To buy when RSI(3) is oversold might work
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