DYI Investing, Quant tools and thoughts on the market
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 …
Read more7 Winning Trading Systems Reviewed – Pt. 3: RSI 25 75
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 – 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 …
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
[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 …
