Blog Archives

Calendar Strategy: Fed Days

May 6, 2014
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Calendar Strategy: Fed Days

Today, I want to follow up with the Calendar Strategy: Option Expiry post. Let’s examine the importance of the FED meeting days as presented in the Fed Days And Intermediate-Term Highs post. Let’s dive in and examine historical perfromance of SPY during FED meeting days: Please note 100 day moving average filter above. If we

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Calendar Strategy: Option Expiry

May 2, 2014
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Calendar Strategy: Option Expiry

Today, I want to follow up with the Calendar Strategy: Month End post. Let’s examine the perfromance Option Expiry days as presented in the The Mooost Wonderful Tiiiiiiime of the Yearrrrrrrrr! post. First, I created two convenience functions for creating a calendar signal and back-testing calendar strategy: calendar.signal and calendar.strategy functions are in the strategy.r

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Calendar Strategy: Month End

April 27, 2014
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Calendar Strategy: Month End

Calendar Strategy is a very simple strategy that buys an sells at the predetermined days, known in advance. Today I want to show how we can easily investigate performance at and around Month End days. First let’s load historical prices for SPY from Yahoo Fiance and compute SPY perfromance at the month-ends. I.e. strategy will

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Quality of Historical Stock Prices from Yahoo Finance

April 7, 2014
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Quality of Historical Stock Prices from Yahoo Finance

I recently looked at the strategy that invests in the components of S&P/TSX 60 index, and discovered that there are some abnormal jumps/drops in historical data that I could not explain. To help me spot these points and remove them, I created a helper function data.clean() function in data.r at github. Following is an example

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Capturing Intraday data, Backup plan

March 31, 2014
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Capturing Intraday data, Backup plan

In the Capturing Intraday data post, I outlined steps to setup your own process to capture Intraday data. But what do you do if you missed some data points due for example internet being down or due to power outage your server was re-started. To fill up the gaps in the Intraday data, you could

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Probabilistic Momentum with Intraday data

March 30, 2014
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Probabilistic Momentum with Intraday data

I want to follow up the Intraday data post with testing the Probabilistic Momentum strategy on Intraday data. I will use Intraday data for SPY and GLD from the Bonnot Gang to test the strategy. Next, let’s examine the hourly perfromance of the strategy. There are lots of abnormal returns in the 9:30-10:00am box due

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Capturing Intraday data

March 10, 2014
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Capturing Intraday data

I want to follow up the Intraday data post with an example of how you can capture Intraday data without too much effort by recording 1 minute snapshots of the market. I will take market snapshots from Yahoo Finance using following function that downloads delayed market quotes with date and time stamps: Next we can

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Intraday data

March 9, 2014
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Intraday data

In the Intraday Backtest post I showed an example of loading and working with Forex Intraday data from the FXHISTORICALDATA.COM. Recently, I came across another interesting source of Intraday data at the Bonnot Gang site. Please note that you will have to register to get access to the Intraday data; the registration is free. Today,

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Probabilistic Momentum

February 16, 2014
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Probabilistic Momentum

David Varadi has recently discussed an interesting strategy in the Are Simple Momentum Strategies Too Dumb? Introducing Probabilistic Momentum post. David also provided the Probabilistic Momentum Spreadsheet if you are interested in doing computations in Excel. Today I want to show how you can test such strategy using the Systematic Investor Toolbox: The Simple Momentum

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Weekend Reading: F-Squared

December 6, 2013
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Weekend Reading: F-Squared

Mebane Faber posted another interesting blog post: Building a Simple Sector Rotation on Momentum and Trend that caught my interest. Today I want to show how you can test such strategy using the Systematic Investor Toolbox: Mebane thank you very much for sharing your great ideas. I would encourage readers to play with this strategy

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