An ongoing project I am working on is to be able to have a time series database containing recent and historical members of the FTSE100 index. This can then be used to backtest strategies using the FTSE100 universe to choose stocks from, also research has been made into the price performance preceding stocks that are added … Continue reading FTSE100 Historical Consituents
Many will disagree that entry is an essential part of any trading system. Trend‐followers, usually say that they can spot a trend and jump on board and that its trade management that matters. However, entry determines how soon and how quickly your trade will generate profit or loss. A good entry can use a random … Continue reading Entry Efficiency.
Ever since the bubble popped in bitcoin, I have been amazed at how so many people who have most likely suffered potentially substantial financial losses, seem to hold a narrow mindset still that bitcoin is going to the stars. Cognitive dissonance seems to be rife within the ranks of its proponents who seem entirely unable … Continue reading The Real Hustle
I recently read Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies. Within this book Clenow uncovers a realistic approach to professional portfolio management. Through theoretical basics, logical reasoning behind the applied approach, simulation of the model and finally a year by year walk-through of the actual results Clenow leaves no stone … Continue reading A Stocks On The Move Strategy By Andreas Clenow
Quite often on twitter I hear many people mention NYSE Advance & Decline figures. Advances and declines refers to the number of stocks that closed at a higher and lower price than the previous day, respectively. When looking at new indicators I prefer to look at the raw data, over glancing though lots of charts. In … Continue reading How To Get Nyse ADV DEC Data In R
When building trading systems the general, perhaps not so correct theory is that we should use as much data as we have available. Anyone who has had experience in looking for edges on sub daily data, will appreciate the struggle with finding anything that has worked well for > 5 years. Needless to say that … Continue reading Sample Size Fallacy