Recent content by quantitativo

Hey guys, This week, I tested the enhanced strategy as suggested by Larry Connors in his "Short Term Trading Strategies That Work” book. It uses Cumulative RSIs instead of the vanilla RSI. They do offer a statistical edge (details are in the full article). The strategy achieves a 26% annual...

The strategy presented & demonstrated in the book trades only 1 instrument. In my tests, thinks kind of worked, but most of the results came between 1999-2010. I changed the strategy by trading several instruments in parallel instead of only one. This led time exposure from 10-12% to 90-98%...

Hey guys, This weekend, I tested an interesting idea from "Short-Term Trading Strategies That Work" by Larry Connors. The original idea doesn't work anymore. However, with some adaptations, I made it functional. The strategy uses the 2-period RSI, what Larry Connors called "the Holy Grail of...

Understood now, thx! Let me try...

Matplotlib

Yes, this is a backtest using a survivorship bias free dataset (Nasdaq Sharadar Core US Equity Bundle)

Oh, I applied a filter. We only trade mid-, large-, and mega-cap IPOs; we dont trade small-cap IPOs. (I described all details in the write-up… this strategy is a bit more complex than the others… I didn’t put all the details here to not make the post too long…) And I would love to be able to...

The strategy worked well in 2020 and 2021 (both years returned over 40%). When we look at 2022, 2023, and 2024, the returns were below expected, but I don't know if that's because the alpha is gradually disappearing, as you mentioned, or if it is just because of a lower number of IPOs (as shown...

Nasdaq Sharadar US Equity Bundle dataset. great vendor

Hi, Some weeks ago, I listened to a great strategy shared by Marsten Parker in a podcast interview. I backtested it and was surprised at the results: 18% annual returns over the past 23 years. The strategy beats the S&P 500 with 3x its return and 1/3 of its drawdown. I'm writing here to share...

Interest rates, influenced by Treasury bond yields, are crucial in determining the discount rates used in valuing stocks. When Treasury yields rise, the discount rate for future cash flows also rises, reducing the present value of these cash flows. Tech stocks, which often have high growth...