NAMO data is weird

[wmwmw]

Just because someone says he's "never seen it before" and "has 30 years trading experience" is a basic "false authority/appeal to authority/appeal to accomplishment" logic fallacy.



Oh, but there is a need to do it.

This has happened 7 times in the last 2 years alone which I've determined through about five minutes of coding. Obviously there may be some differences between data sources and I freely admit that my code may contain errors. I post it here for others to test/replicate/critique rather than making sweeping statements about it.

import norgatedata
import pandas as pd

indexticker = '$COMP'
advancingissuesticker = '#NASADV'
decliningissuesticker = '#NASDEC'

timeseriesformat = 'pandas-dataframe'
start_date = pd.Timestamp('2020-01-01')
indexdata = norgatedata.price_timeseries(indexticker,start_date=start_date,timeseriesformat=timeseriesformat)

# Search for a situation
# "Nasdaq was down 137 points yet NAMO was up."

indexdata['chg'] = indexdata.Close - indexdata.Close.shift(1)
indexdata.drop(columns=['Open','High','Low','Volume'],inplace=True)

# Add in A/D data
adv = norgatedata.price_timeseries(advancingissuesticker,start_date=start_date,timeseriesformat=timeseriesformat)
dec = norgatedata.price_timeseries(decliningissuesticker,start_date=start_date,timeseriesformat=timeseriesformat)

# Cleanup colummns
adv.drop(columns=['Open','High','Low','Volume'],inplace=True)
dec.drop(columns=['Open','High','Low','Volume'],inplace=True)
adv.rename(columns={'Close':'adv'},inplace=True)
dec.rename(columns={'Close':'dec'},inplace=True)

# Merge A/D data into index data
indexdata = pd.merge(indexdata, adv, how="left", left_index=True, right_index=True)
indexdata = pd.merge(indexdata, dec, how="left", left_index=True, right_index=True)

# Calc McOsc for Nasdaq
indexdata['mcosccalc'] = 1000 * (indexdata.adv - indexdata.dec) / (indexdata.adv + indexdata.dec)
indexdata['mcosc'] = indexdata.mcosccalc.ewm(span=19,adjust=False,min_periods=19).mean() - indexdata.mcosccalc.ewm(span=39,adjust=False,min_periods=39).mean()
indexdata['mcoscchg'] = indexdata.mcosc - indexdata.mcosc.shift(1)

# Find "Nasdaq was down 137 points yet NAMO (Nasdaq McClellan Oscillator) was up."
# To prove/disprove "I have never seen this before." by wmvmw

indexdata['wmvmw'] = ((indexdata.chg <= -137) & (indexdata.mcoscchg > 0))

# Show those rows that satisfy the condition
print (indexdata[indexdata['wmvmw']])

Output:

                  Close         chg     adv     dec   mcosccalc      mcosc   mcoscchg  wmvmw
Date
2020-03-20   6879.520020 -271.060059  1307.0  2017.0 -213.598068 -49.251003   2.724048   True
2020-09-16  11050.469727 -139.850586  2046.0  1358.0  202.115158  10.166898  10.642873   True
2020-11-09  11713.780273 -181.450195  2373.0  1202.0  327.552460  31.498248  13.775218   True
2020-11-10  11553.860352 -159.919922  2133.0  1393.0  209.869537  37.234422   5.736174   True
2021-03-08  12609.160156 -310.990234  2007.0  2080.0  -17.861511 -57.224157   6.734503   True
2021-04-14  13857.839844 -138.259766  2292.0  1885.0   97.438354  -3.683592   6.163399   Trueeve
2021-09-17  15043.969727 -137.950195  2238.0  2209.0    6.521250  -2.064219   2.165337   True

OK, it is good that I have found someone who can code. What were outcomes of these 7 cases? I mean after those 7days market were continuing going down or reverse?
Never mind, I will check them myself later.

Here is my strategy:

1. Short SQQQ with 80% portfolio, the rest is cash.
2. Rebalance every 10 days if:
The account balance on the last day of last 10 days is up compared with the last day of previous 10 days;
3.If account balance on the last day of last 10 days is down compared with the last day of previous 10 days, exit the whole position;
4. If anytime account is hit with 13% drawdown, exit the whole position.
5. Reenter when SQQQ price is lower on the last day of last 10 days compared with the last day of previous 10 days.
6. The 10 days count continuously, does not change as exit or reenter happening.

It was supposed to make like 300% annual profit,and I was trying to backtest it, but I do not know coding.

 

[jharmon]

But I have never seen a BIG down day like Friday and NAMO was up.

Well, since it HAS happened before MULTIPLE times in the last few years and with BIGGER down days, then there's only one conclusion.

I wonder if you'll ever get it.

 

[wmwmw]

Well, since it HAS happened before MULTIPLE times in the last few years and with BIGGER down days, then there's only one conclusion.

I wonder if you'll ever get it.

Yes, I had one judgement that was not accurate.
You had multiple failures to simply understanding my post.
Which is tougher?Judging market or readingng a post?

 

[jharmon]

LOL - I love traders like you.