I am back again!

After a long break of blogging (the day-job was too time consuming) I now plan to pick-up blogging again. As a starter I have migrated the old site to the new domain and added a page on helpful tools & resources that I have come across in the last couple of years developing my Auto-Trading … Read more

Custom Backtest file available at Download page

Requested my several readers, I post here the Custom Backtest File that I use. It includes features like go-in-cash, export stats, multiple entries etc. Credits go to Frank Hassler at engineering-returns.com that has shared his CBT and from which I took several code snippets. Download OutputStatistics.afl (rename file extension to .afl) QD

Performance Summaries updated

The strategies page has been updated with the out-of-sample results for the 3 strategies that have been published. Below the summary picture, there is a link to a detailed report-file containing equity chart, performance table, SPC charts and list of trades. The three strategies did not fare that well during this year. The main reason … Read more

Correlation of Strategies

Today’s post is a follow up of my previous post Looking at Correlation. In the first post I looked at correlation of the 7 ETFs that are used in the WTAA strategy that is one of the featured strategies of this blog.  I provided Amibroker code to create a correlation table and code to create a correlation indicator.
In this post I will be exploring the correlation between the 3 strategies described in the blog: WTAA, MEOM and DVI strategy.

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Looking at Correlation

Recently I started to look a bit more closely at correlation. From any book/article on Modern Portfolio Theory, one can learn that diversification improves the return/risk ratio. Through adding assets the overall return/risk ratio of the total portfolio improves as it moves towards the efficient frontier.  The main driver of this improvement is the diversification that is brought by (less) correlated assets. Triggered by this thought I started to look at correlation of assets and correlation of strategies

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MSR Strategy

A post that has been on my to-do list for some time is analysis of the MSR indicator in a trading strategy. It is the follow up post of my implementation of the MSR indicator with my self-built Median() function in a dll for amibroker.

The analysis is built up in 4 steps:
1. Application of the MSR indicator to my broad universe of  25 ETF’s
2. Application of the MSR indicator a portfolio of the 25 ETF’s
3. Comparison of the MSR indicator as trend filter with other filters
4. Conclusion

The post is rounded up with the Amibroker code   – QD –

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