Last Updated on June 19, 2022
Some weeks ago I wrote about a potential daytrading strategy in XLP. This is a similar test done in SPY:
If these two simple criteria are fulfilled, then go long at the open and hold until close.
This is the result from 2005 until the present:
| P/L | #Fills | Avg. | |
| 19.75% | 84.00 | 0.24% |
Here is the equity curve:
Last Updated on December 16, 2022 Sweden has a vibrant stock market, with many interesting companies like AstraZeneca, Atlas Copco AB, and Ericsson. You can track the performance of the Swedish market with the OMX Stockholm 30 and OMX Stockholm PI indexes. OMX Stockholm PI is the composite index of the Swedish stock market, consisting…
Last Updated on October 23, 2022 Quantitative trading or Quant trading has both pros and cons. In this article, we look at 8 pros and cons of quant trading. Even though we list both 8 pros and cons of quant trading, we believe the pros far outweigh the cons. The main reason for that is…
Last Updated on July 31, 2022 Russell 2000 rebalancing at the end of June is an important event. It’s important because it leads to potential imbalances, but more importantly, the Russell 2000 has shown abnormal outperformance over these few days. The seasonality and effect are so strong it seems to be a tradeable Russell 2000…
Last Updated on August 23, 2022 The Utilities sector is known to outperform the S&P 500 index when there are market downturns, especially during periods of recession. Let’s take a look at the sector and discuss an example of an utilities trading strategy. What is the S&P Utilities sector? The S&P 500 Utilities sector consists…
Last Updated on March 8, 2023 Most traders attach trendlines across one swing side of a trend to delineate its direction. But to appreciate the individual price swings within a trend, you may need to have a price channel to see the up-and-down swinging movement of the price as it trends upward, downward, or horizontally….
Last Updated on December 3, 2022 Covered calls look tempting when interest rates and dividend yields are down because many investors and traders look for additional ways to generate “income”. Many pundits promise both good returns and “income” if you issue call options on your positions – so-called covered calls. Can you make money on…
Session expired
Please log in again. The login page will open in a new tab. After logging in you can close it and return to this page.
Hello Oddmund
Thank you for yet another interesting post. I have noticed that you several times use the formula (c-l)/(h-l). Could you please explain what information the result gives you about a given period?
Best regards,
Juksefant
Hm, I’m not sure what you mean. Can you please elaborate?
What I mean is what information do you get from the mentioned formula? Does a low value indicate a momentum in any direction? And why must the value be lower than 0.1? Is this a value you have retrieved from backtesting this specific strategy, or is it a more general indication? I am spending quite some time trying to develop an easy set-and-forget trading system, and I find your formula very interesting even if I don’t quite understand how or when to use it. I hope this make my question clearer.
The formula is (close-low)/(high-low). The lower the value, the more return next day. This works pretty much on every ETF. This is a mean reversion formula.Buy on low values, sell on high values, but short is of course much tougher. The value 0.1 is derived from backtesting. I would suggest youo test this in Excel to get a better grasp of it. To see it yourself is much better!