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SPY

Day of month effect on rebalancing a portfolio

May 22, 2016 by sanz prophet 4 Comments

In this post we will: Take a look at a simple, momentum based, monthly rebalanced Equity/Bond portfolio consisting of two ETFs: SPY and TLT. Search for what has been the optimal dates in the month to rebalance such a portfolio. Each month we allocate to SPY and TLT. If SPY has outperformed  TLT we rebalance …

Read moreDay of month effect on rebalancing a portfolio

Filed Under: Seasonal, SPY Tagged With: bond, day of the month, equity, etf, investment, portfolio

The end of the end of month strategy

February 14, 2015 by sanz prophet 4 Comments

Has the end of month strategy stopped working? Historically and up to 2013, equities have exhibited a positive bias during the end of the month. Here is an example of buying the SPY etf on the first down-day after the 23rd and selling on the first up-day of the next month. Trading is at the same day …

Read moreThe end of the end of month strategy

Filed Under: Amibroker, code, SPY, strategy, strategy development

From Regime Switching to Fuzzy Logic -SP500

September 19, 2013 by sanz prophet 2 Comments

In the previous post I showed how one can implement “regime” switching to create a strategy that switches between a mean-reverting and a momentum sub-strategy. Can we do something similar (or better) using Fuzzy Logic?   Here’s the setup: (here for some Fuzzy Logic backround) We create a basic membership function for the RSI(2) indicator: …

Read moreFrom Regime Switching to Fuzzy Logic -SP500

Filed Under: contrarian, fuzzy logic, momentum, SPY

Simple Regime Switching for SP500

September 13, 2013 by sanz prophet 24 Comments

image from  http://brucekrasting.com/ Let us consider two possible ways to trade the SP500. 1. If the index falls today, we buy tomorrow at the open. This is a “mean-reversion” strategy. 2. If the index rises today, we buy tomorrow at the open. A “follow-through” strategy. From the graphs below, we can see that neither of …

Read moreSimple Regime Switching for SP500

Filed Under: contrarian, momentum, SPY

Selling Puts on Breakouts

March 12, 2013 by sanz prophet 13 Comments

If someone asked you to sell Puts on the SP500 and hold to expiration, when would you sell them? On a correction or a bullish breakout? This is a strategy that I came about by accident. I actually meant to do the exact opposite of what I ended up testing…  I can’t say I would trade this …

Read moreSelling Puts on Breakouts

Filed Under: SPY, strategy, strategy development

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