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Disclaimer | Alvarez Quant Trading
http://alvarezquanttrading.com/disclaimer
So do your own homework and take responsibility for your trading. Start Dates, Correlation and Random Strategy. Mean Reversion and the Broken Rubber Band. Making new equity highs. It happens less than you think. Join my mailing list. Want to be notified by email when I make a new post? Subscribers automatically get the link to any spreadsheet included in the post. Simple Ideas for a Mean Reversion Strategy with Good Results. Hi-Lo Index as a Market Timing Indicator. Relative Strength Index (RSI) Analysis.
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Re-balancing: Is it worth the time and effort? | Alvarez Quant Trading
http://alvarezquanttrading.com/2015/04/15/re-balancing-is-it-worth-the-time-and-effort
April 15, 2015. Re-balancing: Is it worth the time and effort? David Weilmuenster is today’s guest author. David and I worked together at Connors Research for eight years and is one great researcher and AmiBroker programmer. Let’s look at a couple of straightforward examples to illustrate some of the dynamics of re-balancing. What if, instead, we trade the 2X Leveraged ETFs, SSO and UBT, that are based on the same underlying indices as SPY and TLT? Their statistics for the same time period[iii] are:.
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Speaking at the 2015 ATAA conference | Alvarez Quant Trading
http://alvarezquanttrading.com/2015/03/25/speaking-at-the-2015-ataa-conference
March 25, 2015. Speaking at the 2015 ATAA conference. I will be speaking at the 2015 Australian Technical Analysts Association on May 15 to 17, 2015. My topics are The development of an S&P500 stock weekly rotation strategy and From Internet Article to Trading Strategy: An ETF Monthly Rotation Strategy. For more information about the conference go here. I am excited to meet some of my readers at the conference. What is the must eat restaurant in the heart of Sydney? Put it in the comments below. 8230;] S...
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Services | Alvarez Quant Trading
http://alvarezquanttrading.com/services
I have over 13 years of experience coding and programming in AmiBroker with nine of those on a full-time basis as the Director of Research for Connors Research. I having been programming since 1983 with six years programming at Microsoft on the Excel team. If you are familiar with AmiBroker’s Custom Back Tester (CBT), I am an expert, and the CBT is a must for difficult-to-code, complicated strategies. I bill by the project so you know ahead of time how much your project will be. I will forever be gratefu...
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Interviewed on Better System Trader | Alvarez Quant Trading
http://alvarezquanttrading.com/2015/04/29/interviewed-on-better-system-trader
April 29, 2015. Interviewed on Better System Trader. I was recently interviewed on Better System Trader. To listen to it. He also has some other good interviews with Jake Bernstein and Brent Penfold which I listened to. I need to get around to the Nick Radge interview because I am meeting him next month at the 2015 Australian Technical Analysts Association. Some quotes from my interview. There is nothing that will dig at you like trading with real money on the line. Got questions about the interview?
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Blog | Alvarez Quant Trading
http://alvarezquanttrading.com/blog
August 3, 2016. Start Dates, Correlation and Random Strategy. July 13, 2016. Often one runs a optimization of a testing idea, then using some set metrics from these results, one picks a variation to trade. What often comes as a surprise to people, and myself the first time I saw this, is that your optimization runs are often mean reverting. What do I mean by this? June 17, 2016. Mean Reversion and the Broken Rubber Band. May 25, 2016. A couple posts ago, I did the RSI Analysis. ConnorsRSI is an indicator...
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AmiBroker | Alvarez Quant Trading
http://alvarezquanttrading.com/amibroker
AmiBroker and Backtesting 101 – Introduction to coding and back testing in AmiBroker. Learn AmiBroker in this self-paced video course taught by Cesar. Intermediate AmiBroker and Backtesting 201. Learn more advanced topics in AmiBroker. Have your AmiBroker programming and coding needs will be solved by Cesar. Howard Bandy’s AmiBroker books. AmiBroker code for various statistics and indicators. If you have any ideas of other code snippets to add, send them to me. Use my contact form. Plot( ConnorsRSIa(C, p...
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How good is Smart Beta? | Alvarez Quant Trading
http://alvarezquanttrading.com/2015/05/06/how-good-is-smart-beta
May 6, 2015. How good is Smart Beta? A popular topic lately has been Smart beta ETFs. What is smart beta? It is using different ways to weight an index and the ETF that tracks it. For example, the S&P500 index is a capitalization weighted index. Bigger companies have a larger portion of the index. If you look at the SPY, Apple which is the largest company, accounts for 4% of the index ( https:/ www.spdrs.com/product/fund.seam? To beat the returns of the S&P500 index . But are these other ways better?
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FAQ | Alvarez Quant Trading
http://alvarezquanttrading.com/faq
What program do you use for your tests? For for my tests I primarily use AmiBroker. I sometimes use Excel and MySQL. Where do you get your data? I am currently using and recommend Premium Data from Norgate Investor Services. Before May 2014, I used data from CSI Data. Is the data survivorship bias free? Are dividends and capital gains included? The data has been adjusted for dividends and capital gains. Can you share your stock data? I cannot per my license agreement with CSI Data and Premium Data. After...
