Bull by Night, Bear by Day Is Best Strategy, Goldman Sachs Says

[infolode]

Quote from ASusilovic:

Peter Berezin’s Experience

*
Senior Global Economist
Goldman Sachs

(Public Company; GS; Investment Banking industry)

2007 — Present (2 years)

*
Economist
International Monetary Fund

(Government Agency; 1001-5000 employees; International Trade and Development industry)

2000 — 2007 (7 years)

Funny, how a "senior global economist" ends up backtesting S&P futures....

http://fora.tv/speaker/3977/Peter_Berezin

Other speakers of interest: http://fora.tv/topic/economy

 

[RiceRocket]

I think this would be a viable strategy, but only if you bought at the close of days with extreme selling pressure.

 

[rodmike9]

Quote from ASusilovic:

yielded 309 percent since 1993

16 years for 309%???

 

[MustPlayOptions]

This was pointed out in a Stocks, Futures and Options magazine article a long time ago. Obviously the author reads the magazine and stole the idea, unless it's the same author.

SFO is free btw and a good magazine.

 

[Wayne Gibbous]

Still seems bogus to me. It tests to be slightly positive over the last 16 years, but just barely. Here is buying 1000 shrs of SPY at Close, Selling the next day at Open, penny a share commish (yeah you can do better now, but in the real world things always cost more, somehow...), no slippage. How close you could really get to the Close and Open with SPY I don't know, so results are likely worse than shown.


Starting Capital $500,000.00
Ending Capital $570,400
Net Profit $70,400.13
Net Profit % 14.08%
Annualized Gain % 0.83%
Exposure 18.52%
Number of Trades 4,030
Avg Profit/Loss $17.47
Avg Profit/Loss % 0.01%
Avg Bars Held 1.00

Winning Trades 2,170
Winning % 53.85%
Gross Profit $875,480.18
Avg Profit $403.45
Avg Profit % 0.38%
Avg Bars Held 1.00
Max Consecutive 15
Losing Trades 1,860
Losing % 46.15%
Avg Loss $-432.84
Avg Loss % -0.42%
Avg Bars Held 1.00
Max Consecutive 9

Max Drawdown $-50,020.00
Max Drawdown % -8.15%


Profit Factor 1.09
Sharpe Ratio 0.48

 

[Martinghoul]

This is a much more rigorous, properly academic study, if that sorta thing floats yer boat...

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1004081

 

[makloda]

Quote from ASusilovic:Funny, how a "senior global economist" ends up backtesting S&P futures....

These research backtests are actually done by summer MBA interns while the senior staff is heading to the clubs and brothels

 

[asap]

Quote from ASusilovic:

Peter Berezin’s Experience

*
Senior Global Economist
Goldman Sachs

(Public Company; GS; Investment Banking industry)

2007 — Present (2 years)

*
Economist
International Monetary Fund

(Government Agency; 1001-5000 employees; International Trade and Development industry)

2000 — 2007 (7 years)

Funny, how a "senior global economist" ends up backtesting S&P futures....

did you say Senior Gambling Economist?

Ah OK I get it