I am faced with the following dilemma: 1. I believe in rules and strategy-based trading. I believe one must not deviate from the “rules”. 2. I can “see” risks that are not incorporated into my model(s). Let me put this in context. From a quant point of view (at least a simple, price-based quant model) a …
strategy
Raging Bull
It seems that most of the strategies that are in the public sphere, are consciously or unconsciously trying to prevent the large 2007-2009 draw-down. From simple to complex Tactical Allocation Systems, to mean-reverting strategies, to volatility based strategies, pairs strategies, etc. They all avoid (in hindsight) the biggest market crash that most of us have experienced. But what happens …
Mon AMMI
No, it’s not french and it’s not the movie.It’s a fast-N-rough “Adaptive Multi strategy Multi Instrument” model. Let’s assume we want to trade mean-reversion: If price moves down we buy, if it moves up we sell. Possible Indicators from the blog-o-sphere:RSI(2),RSI(3),RSI(4)DV2 here and hereBSI here or hereBoilingerBandsCRSI hereTD9 here Question 1: Which Indicator to use? One …
Seasonals – SP500, Euro
Here’s the strategy: Each month we buy at the Open of the first day of the month and sell at the close of the last day of the month. Here’s the average profit loss for the S&P500 Etfs, SPY (yahoo:SPY). Data from 1993. This chart shows that for example if we bought every December @ …
Quiz System
Here’s the Equity curve: And here’s the code: Buy=Sell=Short=Cover=0;if (StrFind(“WOODGDXEPUIDXPALLJJG”, Name()))Buy=Sell=1;qty=6;SetOption(“MaxOpenPositions”,qty);;PositionSize=-98/qty;SetTradeDelays(0,1,1,1);BuyPrice=C;SellPrice=O;ShortPrice=O;CoverPrice=C; What’s happening here? This is a variation of Jay Kaeppel’s post at optionetics but using some extra ETFs that have exhibited the same kind of behavior. Original article: http://www.optionetics.com/market/articles/2012/11/28/kaeppels-corner-the-greatest-gold-stock-system-youll-probably-never-use It buys equal amounts of each of these 6 etfs: WOOD,GDX,EPU,IDX,PALL,JJG.It buys on the close …
