One of the readers of this blog, Mark, alerted me to a new indicator/system published from Connors/Alvarez : The ConnorsRSI. What is the ConnorsRSI? It consists of three components:a. Short term Relative Strength, i.e., RSI(3).b. Counting consecutive up and down days (streaks) and “normalizing” the data using RSI(streak,2). The result is a bounded, 0-100 indicator.c. Magnitude of the move …
ETF / Stocks
Better than mean-reversion? An Adaptive Multi-Strategy System
Mean reversion strategies have been very popular since 2009. They have performed exceptionally well for the past 10 years, performing well even during the 2008-09 bear market. Different versions have been popularized, notably by Larry Connors and Cezar Alvarez (previous post) as well as many others in the blog-o-spere such as David Varadi of CSS analytics (DV2) and Michael Stokes @ MarketSci. …
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Quantshare Trading Software on Amazon’s EC2
I wrote an article on how to automate the process of updating quotes, updating multiple trading strategies and e-mailing next day signals form the cloud to our own e-mail boxes. This time I am using QuantShare as the trading software and an Amazon EC2 micro instance as the host cloud. You can read the article …
Uncover Hidden Market Relationships Using Fuzzy Logic
In the previous posts (pt1, pt.2, pt.3) we talked a bit about how to take various indicators and fuzzify them. Now I will show how we can quickly test for relationships in indicators.So the question is: Can we only use RSI(3) and RSI(14) (short term and medium term Relative Strength Index) to trade the S&P500?So …
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The Yield Curve as a predictor for the SP500
*This post was drafted on September 2011 and not posted. I am posting it now with an updated chart at the end. The question is: Does Treasury Yield data contain usable information on trading the SP500? The answer seems to be yes. I am using 3 month, 5 year, 10 year and 30 year Treasury …