Publications by quintuitive
Databases – an Ideal Application for R6?
Over the years I have tried to simplify and streamline my access to financial historic data. All different solutions I tried (see here, for example) so far have been unsatisfactory, at least to some degree. That however changed after I started using R6. Here is an example of using the R6 class for the same task as before: ydb = YahooDb$new("~/ya...
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A Better ZigZag
There are a lot of “winning” strategies for bull markets floating around. “Buy the pullbacks” is certainly one of them. Does this sound simple enough to implement to you? While I am no Sheldon Cooper (although I have a favorite couch seat), I still like to live in a somewhat well defined world, a world in which, there is much more informa...
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Trading Moving Averages with Less Whipsaws
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. Here are the important numbers (using the S&P 500 index from...
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Where Does the S&P 500 Stand?
Last week was brutal for pretty much all markets. Surprisingly, it was bad even for the US dollar. The sharp and straight downward move was reminiscent of the descent of 2011. It’s time to review where does the major index stands from technical point of view. Let’s start with a visual inspection. Clearly the 200-day moving average is gone. ...
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Yahoo Finance (CSI) Data Quirks. Or Why is the ROC not Stable?
Rotational strategies on ETFs have been a common occurrence on this blog, and I have been using something similar for real life trading for about two years now. Readers of this blog may have also noticed concerns about the stability of the computations of such strategies. At the end it turned out be a quirk in the data feed, not accounted for in ...
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When is a Backtest Too Good to be True?
One statistic which I find useful to form a first impression of a backtest is the success/winning percentage. Since it can mean different things, let’s be more precise: for a strategy over daily data, the winning percentage is the percentage of the days on which the strategy had positive returns (in other words, the strategy guessed the sign of...
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When is a Backtest Too Good to be True? Part Two.
In the previous post, I went through a simple exercise which, to me, clearly demonsrtates that 60% out of sample guess rate (on daily basis) for S&P 500 will generate ridiculous returns. From the feedback I got, it seemed that my example was somewhat unconvincing. Let’s dig a bit further then. Let’s add Sharpe ratio and maximum drawdown to t...
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Has the S&P 500 Cleared the Earlier Sell?
Life has been busy and has kept me away from blogging, and from trading, mostly. Still, I can’t stay away from monitoring the markets, and, with the recent rally, I started asking myself – has the situation changed since the 200 day SMA signaled an exit. What do you think – make up your mind before reading further. Making up once mind befo...
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Trading Autocorrelation?
Markets are very smart in absorbing and reflecting information. If you think otherwise, try making money by trading. If you are new to it, make sure you don’t bet the house. In other words, markets are efficient. At least most of the time. So then why people trade? The general believe is that there are windows during which prices of certain ass...
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Creating Calendars for Future’s Expiration
Lately I have been doing calendar analysis of various markets (future contracts). Not an overly complicated task, but has a few interesting angles and since I haven’t seen anything similar on the Net – here we go. The world of futures is not friendly – pretty much every contract has its own definition for expiration. Likewise with the opti...
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