The 200 day moving average is an extremely popular indicator among traders and trend followers. When a stock is above the 200 day MA, it’s said to be in an uptrend and when it’s below, it’s said to be in a downtrend. In this article I look at a strategy that buys upward trending stocks […]
In this article I will show that there is the possibility of a profitable edge when trading breakout stocks on high volume days. However, the edge requires an ability to foresee such high volume in advance. This is no easy task but the data suggests it could be an interesting line for future research.
The concept of trend following is based on the belief that security prices move in upwards or downward trends over time and that the surest way to profit from those moves is to attempt to ride those trends. Despite some claims that trend following is a strategy for nonconformists, trend following is in fact hugely popular, particularly among […]
The new course Hedge Fund Trading Systems Part Two is now open for enrolment. This course contains five new trading systems that I have developed. Each system has been run on robust historical data and shows a consistent, profitable edge in back-testing. The rules for each system are fully explained and the Amibroker source code […]
In this article I implement Ray Dalio’s All Weather portfolio using popular ETFs and I back-test the strategy using Amibroker. The results show nice risk-adjusted returns for investors.
Whatever your opinions are about the concept of back-testing, there are few better ways to build a trading system than through the back-testing of historical data. Back-testing allows us to answer critical questions like ‘how many positions should I hold in a portfolio?’, ‘how much risk should I take?’ or ‘how effective was this strategy in the past?’
All system developers and traders should keep a notepad on their desk so that they can write down their ideas and keep a record of any back-testing that they do. I don’t know what it is, but there is something about writing down on pad and paper that engages the mind far more so than […]
In this article I present a simple and quick trading strategy for shorting leveraged ETFs. Using historical data from Norgate and the back-testing program from Amibroker I reveal a potentially profitable strategy that could benefit from further development.
It has long been established that the Kelly Formula provides a powerful equation for calculating the optimum level of risk with which to place a bet in a probabilistic type game. A game like blackjack or sports betting.
Update 6/6/2018 Norgate Data latest version has now been officially released. This includes the NDU software and historical constituents databases. This is a great service that I use for all my backtesting in Amibroker. More details are available at the Norgate Data website. —-