## 7 Winning Trading Systems Reviewed – Pt. 3: RSI 25 75

Read pt.1 REad pt.2 Back in 2009 Larry Connors and Cesar Alvarez published several short term trading systems in their book “High Probability ETF Trading”. They described 7 mean reverting strategies.  What happens, then once a strategy becomes public domain? Do they loose their edge? All tests are performed on a set of 20 ETFs: DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLV …

## 7 Winning Trading Systems Reviewed – Pt. 2: MDD / MDU

Back in 2009 Larry Connors and Cesar Alvarez published several short term trading systems in their book “High Probability ETF Trading”. They described 7 mean reverting strategies. What happens, then once a strategy becomes public domain? Do they loose their edge?All tests are performed on a set of 20 ETFs:DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLVTthe strategy can hold  up to 10 ETFs …

## Matlab for Amibroker Users – Backtesting Functions for Matlab

The point of this post is to provide some basic functions to non professional Matlab users that may help backtest a simple long only system the way Amibroker (and  most other software) backtest. If you are an Amibroker user you are used to something this easy: sma9=ma(close,9); sma21=ma(close,21); buy=Cross(sma9,sma21);   sell=Cross(sma21,sma9);  Wish you could do …

## Basic Backtest Function for Matlab

[pnl,pnlvector, sh]= backtestlongAmount(data,signal,buyprice,delay,amount\$\$); This is a very basic function for backtesting a strategy in Matlab.All you need is a vector with 1s for Buy, -1’s for Sell and 0’s for Hold. To use it we need1. A vector of prices,i.e. SPY close prices2. Signal: A vector of  1 for BUY, -1 for SELL and 0 …

## Best Day to buy Bovespa – Part 2

If you bought Bovespa on Thursday and sold on Friday every week since 2003, you would be rich (if you compounded). We know this. If one was to follow such a strategy, in real-time, would it make money? In the following strategy an investor would buy at the Close of the “optimal” day that performed …