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7 Winning Trading Systems Reviewed – Pt. 3: RSI 25 75

September 7, 2012 by sanz prophet 1 Comment

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

Filed Under: ETF trading, mean reverting, RSI, strategy development

7 Winning Trading Systems Reviewed – Pt. 2: MDD / MDU

September 2, 2012 by sanz prophet 1 Comment

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

Filed Under: ETF trading, mean reverting, strategy development

7 Winning Trading Systems Reviewed – 3 Day High/Low

August 3, 2012 by sanz prophet 1 Comment

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

Filed Under: Amibroker, code, strategy development

Matlab for Amibroker Users – Backtesting Functions for Matlab

July 31, 2012 by sanz prophet 1 Comment

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

Filed Under: Amibroker, Matlab, Stock

Basic Backtest Function for Matlab

July 31, 2012 by sanz prophet Leave a Comment

[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 …

Read moreBasic Backtest Function for Matlab

Filed Under: Matlab, Stock

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