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 …
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 …
Backtesting Options: Selling SPY Puts on RSI(2)
Let’s try the good old strategy for RSI(2) mean reversion.Buy on Rsi(2)<30Sell on Rsi(2)>60Execution is on the Open of the next day.This is what trading the SPY etf looks like. How about using the same signals and selling 10, 1-point away from the floor price, front month Puts.* Again, we sell 10 Puts right below …
Dis-advantages of the Retail Investor Part 1:Follow The Money
Part 1:From Odyssey Book XII: “‘So far so good,’ said she, when I had ended my story, ‘and now pay attention to what I am about to tell you […]First you will come to the Sirens who enchant all who come near them. If any one unwarily draws in too close and hears the singing of the …
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CBA – Quick test drive
Inspiration strategy: http://empiritrage.com/2013/01/21/correlation-based-allocation/ Quoted from Empiritrage.com:“We propose a model that is designed to identify bull-market and bear-market regimes. We examine correlation between stocks and bonds as a signal. Our hypothesis is that negative correlation between long bonds and stocks represents a bear-market regime, and a positive, or non-existent correlation, reflects a bull market regime.The model calculates …