Amibroker is an excellent tool for back testing and can also be set up for automated trading with Interactive Brokers.
The basic infrastructure is to connect Amibroker to the Interactive Brokers Trader Workstation software using the Amibroker IBController plugin as a buffer. Read more »
Members of our research program at Marwood Research will know that I update the program with new trading strategies on a regular basis.
Last month was Vix Trio and this month I have included another new trading system (with source code) called VWAP Pilot. Read more »
Filling the gap is a popular strategy where you buy a stock when it gaps down in the morning and then wait for it to fill the gap.
Many bloggers have written about how good this strategy is. However, there usually isn’t much evidence to support those claims.
I test the strategy on 20 Nasdaq stocks between 2008-2018 and find mixed results after transaction costs. Read more »
Some intraday stock traders say that if they could choose only one technical indicator it would be the VWAP.
I find that VWAP is not necessarily a holy grail and traders disagree with the best way to use it. In the rest of this article, I test two very simple VWAP trading systems and present the results. Read more »
This week we have seen a mini crash in the stock market indexes and an implosion of several short volatility ETNs. Mood in the stock market has quickly turned from exuberance to fear while some investors are ready to ‘buy the dip’.
Conventional wisdom suggests that the best time to buy stocks is when there is blood on the streets. Many suggest that high Vix readings are a good indicator to increase exposure to the market. Read more »
As usual I’ve been spending a lot of time thinking and working instead of writing. But I wanted to do a post today about some new ideas.
It’s no secret that financial markets are getting more and more efficient and therefore more difficult for the average trader. So it’s a good idea to think creatively and consider what might lead to an edge today or in the future.
Here are 10 new ideas to develop a trading edge in today’s markets: Read more »
Last week the guys at Quantifiable Edges presented an interesting trading edge which buys one day pullbacks in the S&P 500 during strong up trends.
The exact rules are described as follows: Read more »
Back in January 2017, Donald Trump had just become President and most pundits were forecasting a year of stock market volatility and interest rate hikes.
As it turned out (despite terrorist attacks, natural disasters and provocative tweets) 2017 finished as one of the least volatile years in history. Read more »
This month, another new trading strategy called Nuggets Of Gold has been included in our research program Marwood Research.
This is a daily, long/short strategy composed of simple rules that is designed to find short-term swing trades. Read more »
There is substantial evidence that high volatility stocks earn abnormally low returns while low volatility stocks are lower risk and thus a better choice for investors.
In this article, I take a look at the facts and present a number of strategies. The best of which is to buy low volatility stocks in low volatility environments. Read more »