S&P 500 (SPY)
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
Below is the table if we hold for N days since SPY’s inception in 1993:
If we hold for 5 days we get the following equity curve:
Python is one of the most popular programming languages in finance. It is widely used for data analysis, machine learning and, of course, backtesting trading strategies. Today we will show you how to calculate and backtest a MACD, Moving Average Convergence/Divergence (MACD), trading strategy using Python. As you will see, it doesn’t take a computer…
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…
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