DYI Investing, Quant tools and thoughts on the market
Backtesting Fuzzy Logic in Amibroker In pt.1 we backtested a “fuzzified” trading strategy in Matlab (read part 1): Buy when RSI(3) is Low and it’s before Expiration week. Although it was easy to develop this fuzzy model in Matlab, due to the intuitive GUI, it is difficult to get meaningful backtest results, visual signals, statistics …
Read moreThe case for Fuzzy Logic in Trading – Pt. 2: Amibroker
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 …
Read more7 Winning Trading Systems Reviewed – 3 Day High/Low
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 …
Read moreMatlab for Amibroker Users – Backtesting Functions for Matlab
This post is a technical description on how to set up Amibroker on EC2. For licencing Amibroker running on EC2 or another VPS contact amibroker.com. This is a rough guide on how to setup Amibroker to run on an Amazon EC2 micro instance.Turns out, Amibroker runs fast even on this tiny micro instance.Amazon provides one year …
I have been looking into software to log my trades and keep track of actual trade performance. I was looking for: 1. Simple import process from Interactive Brokers TWS Log Files.2. Be able to code and run custom statistics on portfolio level trades, not just per instrument.3. Be able to see my entry and exit …
