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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...

This is an excellent point! In this great analysis, prof. Galloway argues we might already be in an AI bubble, making exactly your argument. He compares it with the Cisco craze of late 90's: Cisco rallied from ~1994 to 2000 about +2,500%, selling networking hardware to basically everyone...

I'm sharing so we can talk about it and potentially improve it. Also, if there are people looking for ideas to try out, they might find these interesting. Some people share nothing about their methods, while others share almost all aspects of their strategies. I admire people in the 2nd group...

No, TQQQ's inception was on 2011-02-09. Backtesting from 2011 to today resulted in a 2.03 Sharpe with 28.7% annualized returns in comparison to 17.9% QQQ in the same period, despite being exposed only 16% of the time. 74.6% win rate, but only 209 trades in the backtest (14/year). To increase...

TQQQ, the ETF that tracks QQQ 3x leveraged

Thanks, I will try your exit suggestions! About the entries, I'm placing orders at the next day's opening, actually.

Hey guys, Just tested a strategy that has achieved an impressive 29% annual returns since 1999, with only two negative years: the Turnaround Tuesdays. The Turnaround Tuesdays is a simple trading strategy based on the observation that stocks tend to rebound on Tuesdays after a down Monday...

You are right! In fact, I tested a Long&Short portfolio using QQQ and PSQ. The results are in the full write-up, here's the link.

Yeah, you are right. I'll test the 2 avenues to increase the exposure time (add complementary strategies, and trade Nasdaq 100 instruments simultaneously in parallel), and they should significantly increase the # of trades. I'll share as soon as I find more time

Thanks! Not yet, I'm forward-testing it first. Also, I don't think this strategy is ready to be traded as is, because the exposure time is too low (only 15%). I want to change it to at least 30% before trading it. So far, I'm thinking about 2 ways to achieve it: 1. Add complementary strategies...