Alvarez Quant Trading


 

A user commented on ETF Sector Rotation post about a simple idea for trading the sector ETFs, which I can’t believe I have never tried.

If the Select Sector SPDR ETF (XLY, XLP, XLF, XLE, XLV, XLI, XLB, XLK, XLU) is above its 200-day moving average for the last 5 days, then buy 10% of that ETF.

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Out-of-sample testing and luck [0.13]

Posted on July 12, 2017, 3:38 p.m. by Alvarez Quant Trading @ [source]

Continuing from the last post, I will show how using different definitions of passing our out-of-sample test can change our results.

Out last metric, “the chart of the top 100 in IS and what decile they end up in OOS looks good.” This is a chart of the count of each decile that our top 100 in IS ended up in OOS.

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In-Sample and Out-Of-Sample Testing [0.03]

Posted on June 21, 2017, 4:14 p.m. by Alvarez Quant Trading @ [source]

I am frequently asked if I do out-of-sample testing. There are lots of considerations and pitfalls to avoid when doing out-of-sample testing.

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My favorite one, and a simple one, is using the 200 day moving average on either the SPY or S&P 500 Index. Of course we would trade none of these top runs because they are likely curve fit.

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ConnorsRSI Strategy: Sensitivity Analysis [-0.06]

Posted on May 3, 2017, 3:14 p.m. by Alvarez Quant Trading @ [source]

In Simple ConnorsRSI Strategy on S&P500 Stocks I showed a ConnorsRSI strategy on S&P500 stocks.

What I do is randomly vary the inputs by 10-20% around the parameter value.

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ConnorsRSI Strategy: Optimization Selection [0.18]

Posted on April 12, 2017, 3:28 p.m. by Alvarez Quant Trading @ [source]

In the previous post, Simple ConnorsRSI Strategy on S&P500 Stocks, I showed a simple strategy which I optimized which gave 1,300 variations. Variations near the top are likely there because of luck.

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CORRECTION: Simple ConnorsRSI Strategy [0.16]

Posted on March 27, 2017, 3:18 p.m. by Alvarez Quant Trading @ [source]

The information and analysis on this site is provided for informational purposes only. None of the information on this site is guaranteed to be correct, and anything written here should be subject to independent verification.

advice circumstances financial interpreted investment personalized represent responsible security solely

 

Simple ConnorsRSI Strategy on S&P500 Stocks [0.12]

Posted on March 15, 2017, 3:23 p.m. by Alvarez Quant Trading @ [source]

A frequently asked question is how I pick which variation from an optimization run to trade. This post will cover a ConnorsRSI strategy on S&P500 stocks.

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My last post on Country ETF Rotation generated several ideas of what to test to improve the results.

The first idea is simply to add the ranks of multiple timeframes, instead of using one rank only.

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Country ETF Rotation [-0.02]

Posted on Jan. 25, 2017, 4:09 p.m. by Alvarez Quant Trading @ [source]

My recent research has been focused on finding strategies that are not highly correlated with the S&P500 index. One of my most popular posts is ETF Sector Rotation.

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N-Day exits with Mean Reversion [0.08]

Posted on Jan. 4, 2017, 4:23 p.m. by Alvarez Quant Trading @ [source]

My last post on using PercentRank to measure mean reversion proved very popular. A reader looked at the trades and wondered if it would be best to exit after five days because the average trade with longer holds was a loser.

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Using recent returns for Mean Reversion [0.04]

Posted on Dec. 7, 2016, 4:08 p.m. by Alvarez Quant Trading @ [source]

In most of my mean reversion posts, I use RSI(2) to determine if a stock has sold off. In particular I want to know where does the current ROC(n) rank over all the ROC(n)s over the last year.

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Is synthetic XIV/VXX data safe to use? [0.18]

Posted on Nov. 16, 2016, 4:28 p.m. by Alvarez Quant Trading @ [source]

I have done several posts about trading XIV & VXX. In these posts (here, here and here) I refer to using synthetic data before these ETFs started trading.

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Nine days down. How bad is that? [-0.04]

Posted on Nov. 6, 2016, 5:23 p.m. by Alvarez Quant Trading @ [source]

As anyone who pays attention to the market, the S&P500 is down nine days in a row. Nine days down seems bad.

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VXX & XIV Strategies [0.08]

Posted on Oct. 26, 2016, 3:24 p.m. by Alvarez Quant Trading @ [source]

My recent research has been on the volatility Exchange Traded Products. Because of this, most people use synthetic data for before their inception to test the bear market scenarios.

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Presenting in Dallas and Austin, Texas [0.33]

Posted on Oct. 10, 2016, 4:44 p.m. by Alvarez Quant Trading @ [source]

I will be in Texas next week giving presentations. I hope to see some readers there.

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Ask Me Anything Video for October 5, 2016 [0.21]

Posted on Oct. 5, 2016, 4:30 p.m. by Alvarez Quant Trading @ [source]

Nothing herein should be interpreted as personalized investment advice. The ideas and strategies should never be used without first assessing your own personal and financial situation, or without consulting a financial professional.

assessing circumstances financial ideas investment represent responsible security solely strategies

 

Taming High Return and High Risk [0.11]

Posted on Sept. 28, 2016, 3:24 p.m. by Alvarez Quant Trading @ [source]

I was at a recent talk of the Northwest Traders and Technical Analysts group where they presented a VXX strategy with some huge return and drawdown numbers.

The results are of trading this strategy with the entire portfolio amount.

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Ask Me Anything Video for 9/12/2016 [0.21]

Posted on Sept. 12, 2016, 5:37 p.m. by Alvarez Quant Trading @ [source]

Nothing herein should be interpreted as personalized investment advice. The ideas and strategies should never be used without first assessing your own personal and financial situation, or without consulting a financial professional.

assessing circumstances financial ideas investment represent responsible security solely strategies

 

Strategy Up/Down Capture [0.07]

Posted on Sept. 7, 2016, 3:55 p.m. by Alvarez Quant Trading @ [source]

A reader sent this interesting link about Up/Down Capture.

To calculate Up Capture one takes the percent return of your strategy divided by the percent return of the SPY for each day the SPY is up.

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