S&P 500 (SPX)
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
Trading performance if exit after N-days (100 000 and compounding) since 1975:
As you can see, pretty weak performance base don the past
Pairs Trading Strategy involves being neutral to the direction of the market. This article looks at what pairs trading is, how it works, and its advantages and disadvantages (pros and cons). The main benefit of pairs trading is market neutrality. In the end, we test some simple pairs trading strategies. Pairs trading is profitable and…
Albert Einstein is famous for saying that compounding is the eighth wonder. But is he correct? Yes, to a certain extent, he is correct. Look at the example below: [am4show have=’p2;p3;p58;p59;p130;p138;’ user_error=’Premium Post Access’ guest_error=’Premium Posts’] An example of #compounding and delayed gratification: The chart below shows $XOM and how 10 000 investment compounds with…
Instrument/asset S&P 500 (SPY) Trading rules The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it): Today’s close is an FOMC meeting day. Results Trading performance if exit after N-days: The edge is negative, perhaps with a short trade. Improved Trading Edge As…
How have stocks, bonds, and gold performed after options expiration week in August? Let’s backtest and find out: Trading Rules [am4show have=’p2;p3;p58;p59;p130;p138;’ user_error=’Premium Post Access’ guest_error=’Premium Posts’] Trading rules: [/am4show] First, let’s backtest the performance of stocks (S&P 500) since 1985. We chose 1985 because it was around this time that derivatives started attracting interest…
Does volume matter in SPY? I’m trading SPY, but until now I have not paid any attention to the volume. Let’s test a simple SPY volume trading strategy. Volume probably matters in SPY because a lot of SPY trading is hedging. I trade SPY every day in my day trading simply for hedging purposes. So…
Trend following the S&P 500 is probably not the sexiest thing to do. Back in 2012 Meb Faber published a paper called A Quantitative Approach To Tactical Asset Allocation in the Journal of Wealth Management. Meb Faber found the 200-day moving average useful and decided to look at the following simple trend following system in…
Session expired
Please log in again. The login page will open in a new tab. After logging in you can close it and return to this page.
