I have been absent from blogging for some time. I have been giving most of my time to our little man. He ‘s now 10 months old and just had his first swim! So maybe Dad can go back to crunching those numbers…
From Regime Switching to Fuzzy Logic -SP500
In the previous post I showed how one can implement “regime” switching to create a strategy that switches between a mean-reverting and a momentum sub-strategy. Can we do something similar (or better) using Fuzzy Logic? Here’s the setup: (here for some Fuzzy Logic backround) We create a basic membership function for the RSI(2) indicator: …
Simple Regime Switching for SP500
image from http://brucekrasting.com/ Let us consider two possible ways to trade the SP500. 1. If the index falls today, we buy tomorrow at the open. This is a “mean-reversion” strategy. 2. If the index rises today, we buy tomorrow at the open. A “follow-through” strategy. From the graphs below, we can see that neither of …
Strategies on The Cloud: TAA on Google Docs
Did you want to have a strategy on the cloud that monitors the market and updates you on new Buy/Sell signals (as well as number of shares, etc) by email. Did you want to run it on best of breed “always ON” servers with free and accurate data? How much would that set you back?Well, …
Selling Puts on Breakouts
If someone asked you to sell Puts on the SP500 and hold to expiration, when would you sell them? On a correction or a bullish breakout? This is a strategy that I came about by accident. I actually meant to do the exact opposite of what I ended up testing… I can’t say I would trade this …
