570 search results for "trading"

Trading Moving Averages with Less Whipsaws

June 21, 2015
By

Using a simple moving average to time markets has been a successful strategy over a very long period of time. Nothing to brag home about, but it cuts the drawdown of a buy and hold by about a half, sacrificing less than 1% of the CAGR in the process. In two words, simple yet effective. The post

Read more »

FOMC Cycle Trading Strategy in Quantstrat

March 14, 2015
By
FOMC Cycle Trading Strategy in Quantstrat

Another hotly anticipated FOMC meeting kicks off next week, so I thought it would be timely to highlight a less well-known working paper, “Stock Returns over the FOMC Cycle”, by Cieslak, Morse and Vissing-Jorgensen (current draft June 2014). Its main result is:Over the last 20 years, the average excess return on stocks over Treasury bills follows a bi-weekly pattern...

Read more »

Trading The Odds Volatility Risk Premium: Addressing Data Mining and Curve-Fitting

November 19, 2014
By
Trading The Odds Volatility Risk Premium: Addressing Data Mining and Curve-Fitting

Several readers, upon seeing the risk and return ratio along with other statistics in the previous post stated that the … Continue reading →

Read more »

Structural “Arbitrage”: Trading the Equity Curve

October 15, 2014
By
Structural “Arbitrage”: Trading the Equity Curve

The last post demonstrated that far from being a world-beating, absolutely amazing strategy, that Harry Long’s Structural “Arbitrage”, was in … Continue reading →

Read more »

A Hammer Trading System — Demonstrating Custom Indicator-Based Limit Orders in Quantstrat

August 18, 2014
By
A Hammer Trading System — Demonstrating Custom Indicator-Based Limit Orders in Quantstrat

So several weeks ago, I decided to listen on a webinar (and myself will be giving one on using quantstrat … Continue reading →

Read more »

A Simple Shiny App for Monitoring Trading Strategies – Part II

August 7, 2014
By

This is a follow up on my previous post “A Simple Shiny App for Monitoring Trading Strategies“.  I added a few improvements that make the app a bit better (at least for me!). Below is the list of new features : A sample  .csv file (the one that contains the raw data) A “EndDate”  drop

Read more »

FRAMA Part III: Avoiding Countertrend Trading — A First Attempt

July 2, 2014
By
FRAMA Part III: Avoiding Countertrend Trading — A First Attempt

This post will begin to experiment with long-term directional detection using relationships between two FRAMA indicators. By observing the relationship … Continue reading →

Read more »

A Simple Shiny App for Monitoring Trading Strategies

June 25, 2014
By
A Simple Shiny App for Monitoring Trading Strategies

In a previous post I showed how to use  R, Knitr and LaTeX to build a template strategy report. This post goes a step further by making  the analysis  interactive. Besides the interactivity, the Shiny App also solves two problems : I can now access all my trading strategies from a single point regardless of the instrument traded.

Read more »

Trading in a low vol world

June 22, 2014
By
Trading in a low vol world

I wanted to take a look at what works in low vol environments, such as we are currently experiencing. I am open to the idea we have entered a period of structurally low volatility due to increased regulatory burden and flow on effects from the dec...

Read more »

Using Genetic Algorithms in Quantitative Trading

March 14, 2014
By

The question one should always asked him/herself when using technical indicators is what would be an objective criteria to select indicators parameters (e.g., why using a 14 days RSI rather than 15 or 20 days?). Genetic algorithms (GA) are well suited tools to answer that question. In this post I’ll show you how to set

Read more »