qusma.com
Trading Performance Analysis - QUSMA
http://qusma.com/2013/08/19/my-performance-analysis-tools
My Performance Analysis Tools. My Performance Analysis Tools. August 19, 2013. Middot; by admin. Middot; in QUSMA. These situations, and performance evaluation in general, are a crucial part of the research/trading/performance loop:. A lack of attention to performance, and the underlying factors that drive it, will have a deleterious effect both on your long-term trading results and the things that you will discover in the research stage. Which have a very simple and easy to handle XML structure. Statist...
adaptivetrader.wordpress.com
A New Approach to Trading | Adaptive Trader
https://adaptivetrader.wordpress.com/2013/03/29/a-new-approach-to-trading
A New Approach to Trading. Recently I changed the way I approach trading system development. Reading A Different Approach to Money Management. Is what gave me the original idea to alter my approach to trading, but my research is what pushed me over the edge. High exposure but low returns. High returns (after factoring for exposure) but low exposure. Only one system to manage. I don’t have to check for as many signals. Not diversified – higher risk. March 29, 2013. Trading Every Other Trading Day. Fill in...
indexswingtrader.blogspot.com
TrendXplorer: Value Investing By Proxy
http://indexswingtrader.blogspot.com/2014/07/value-investing-by-proxy.html
Value Investing By Proxy. By many Benjamin Graham is considered to be the father of " value investing. And with his book "The Intelligent Investor", Mr. Graham brought value investing to the individual investor. Mr Graham advised the investor to always hold bonds in his investment portfolio:. Combining Mr. Graham's recommendation with the concept of paired switching previously discussed. Leads to the following long only application:. The rebalancing frequency may be set for example to quarterly or monthly.
adaptivetrader.wordpress.com
High Frequency Trading | Adaptive Trader
https://adaptivetrader.wordpress.com/2014/03/12/high-frequency-trading
Here are some general facts on what I’ve learned so far:. Strategies are generally divided into liquidity-taking (gross positive, profit off prediction) and liquidity-providing (gross negative, profit off rebates). HFT are VERY active in the ES markets. Most likely the most HFT-dominant market. During mid-day when manual traders are less active, algorithmic activity is easier to detect and predict (I haven’t seen this myself, just heard from a trader). The golden age of HFT is on a decline. Profit ma...
adaptivetrader.wordpress.com
Mean-Reversion Volatility Filters Part Two: Since 2011 | Adaptive Trader
https://adaptivetrader.wordpress.com/2013/05/03/mean-reversion-volatility-filters-part-two-since-2011
Mean-Reversion Volatility Filters Part Two: Since 2011. On my previous post, Mean-Reversion Volatility Filters. Buy if 3-Day IBS 40. Sell if 3-Day IBS 40. Avg Trade: 0.53%. Buy if 3-Day IBS 40 AND HV(5) HV(20). Sell if 3-Day IBS 40. Avg Trade: 0.68%. Buy if 3-Day IBS 40 and HV(5) HV(20). Sell if 3-Day IBS 40. Avg Trade: 0.38%. Buy if 2-Day RSI 50. Sell if 2-Day RSI 50. Avg Trade: 0.21%. Buy if 2-Day RSI 50 and HV(5) HV(20). Sell if 2-Day RSI 50. Avg Trade: 0.40%. Buy if 2-Day RSI 50 and HV(5) HV(20).
adaptivetrader.wordpress.com
wiliambinghua | Adaptive Trader
https://adaptivetrader.wordpress.com/author/williambinghua
Here are some general facts on what I’ve learned so far:. Strategies are generally divided into liquidity-taking (gross positive, profit off prediction) and liquidity-providing (gross negative, profit off rebates). HFT are VERY active in the ES markets. Most likely the most HFT-dominant market. During mid-day when manual traders are less active, algorithmic activity is easier to detect and predict (I haven’t seen this myself, just heard from a trader). The golden age of HFT is on a decline. Profit ma...
qusma.com
Divergences: Yield Spreads and Size - QUSMA
http://qusma.com/2014/05/23/divergences-yield-spreads-size
Divergences: Yield Spreads and Size. Divergences: Yield Spreads and Size. May 23, 2014. Middot; by admin. Middot; in QUSMA. And now for something completely different. A bit of macro and a bit of factor relative performance: what happens when yield spreads and small caps diverge from the S&P 500? First, let’s play with some macro-style data. Below you’ll find the SPY and BofA Merrill Lynch US High Yield Master II Option-Adjusted Spread (a high yield bond spread index) plotted against SPY. Much of this ef...
qusma.com
QUSMA Data Management System - QUSMA
http://qusma.com/software/qdms
QUSMA Data Management System. QUSMA Data Management System. QUSMA Data Management System – QDMS. The QUSMA Data Management System (QDMS) is a client/server system for acquiring, managing, and distributing low-frequency historical and real-time data, written in C#. A client library is provided which can access the server either locally or over a network, to request data, metadata, etc. A simple sample application showing usage of the client can be found here. Click here to install. Importing data from a C...
adaptivetrader.wordpress.com
Trading Every Other Trading Day | Adaptive Trader
https://adaptivetrader.wordpress.com/2013/03/28/trading-every-other-trading-day
Trading Every Other Trading Day. Something odd that I found:. Buy SPY at close every other trading day. Sell the next day at close. 1/29/1993 – 3/25/2013. The 1990’s bull market, and the 2003-2007 market cycle are almost completely missing from the equity curve. Buy SPY at close every other trading day. Sell the next day at close. 2/1/1993 – 3/25/2013. The popping of the tech bubble and the bull market since 2009 are almost completely missing from the equity curve. Posted in Ideas and Research.
