DYI Investing, Quant tools and thoughts on the market
1. Basics What is rules based Investing? In rules-based-investing we define a clear set of rules. These rules comprise an investment strategy. Here is an example strategy: “At the first day of the month, look at the performance of bonds versus stocks by calulating the 3-month performances of two exchange traded funds, SPY (the SPDR …
Read moreIntro to rules based Investing – Why follow an investment strategy?
Investment software to easily create and backtest a rules-based investment strategy QUANTtrader is a swiss-made software tool used to develop, backtest and implement rules-based strategies. It was initially developed by Frank Grossmann as his personal investment software. After having sold two companies, Frank trades for a living and his software reflects this. QuantTrader is available from Logical-Invest.com …
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 …
The blog has finally its own home at sanzprophet.com and a new look. I admit I miss the older ‘notebook’ look but this new template should be easier to read.
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 …
