Trading System Article Depository

[Nick Radge]

Article here about the ‘Turnaround Tuesday’ anomaly.

What’s the logic?

Unless it works across a very broad and diverse array of stocks then it’s nothing but random.

Interestingly enough one of the comments on Twitter suggested adding another filter to make it even better. That in itself make it even more curve fitted and likely to fail.

Turnaround Tuesday: Wall Street Cliche Or Trading Edge?

[Anonymous]

I saw another one from the same source (or related), the strategy references a high or low of todays bar and if rule met buy the close, trouble somewhere. A lot of sh*te out there.
I might have fallen for some of it before this course.

[Nick Radge]

Market Meanness Index

Just found this interesting blog.

The Market Meanness Index

[JulianCohen]

Nick Radge wrote:

Market Meanness Index

Just found this interesting blog.

http://www.financial-hacker.com/the-market-meanness-index/

I don’t suppose anyone has managed to convert this into .afl have they? He asked hopefully

[LeeDanello]

Julian, Waiting for your input

[JulianCohen]

Maurice Petterlin wrote:

Julian, Waiting for your input

You might be waiting a while mate ha ha

[Nick Radge]

Trend + Counter Trend Blend

https://blog.quantopian.com/counter-trend-trading-threat-complement-trend-following-quantcon-singapore-2016/

[JulianCohen]

Interesting points raised here that I hadn’t considered before

Managing Sequence of Return Risk

[JulianCohen]

A 117% Gain in a Year? Why, That’s Nothin’!

[ScottMcNab]

Not sure if this has been posted/linked but interesting read…something I have noticed with MOC over last few years in backtest too

Broken Strategy or Market Change: Investigating Underperformance

[SaidBitar]

Interesting topic, I feel that short term trading regardless of the claimed returns and lower drawdown is more sensitive to the number of people trading the same style and this causes the decline in returns while longer term somehow they are not affected by all the day to day noise

Maybe some markets where they have less algo and less hedge funds and all of these can do better honestly no idea just gut feeling

[Nick Radge]

Algo’s been around since the 90’s. Some 80% of traded volume in the SPI pit when I was on the floor was algo based.

It’s probably just mean reversion – typical of any type of strategy.

[ScottMcNab]

SPX MOC

trades per year
2000-2007: 619
2008-2016: 544
2011-2016: 534

av profit/loss (PS =random/ PS=worst poss)
2000-2007: 0.58% / 0.49%
2008-2016: 0.53% / 0.42%
2011-2016: 0.40% / 0.31%

Not as severe as in the post but in line with general theme

[SaidBitar]

It will be interesting to see the effect of daily range filter
For example ATR (10)/MA (C,10)×100
this will return the atr as percentage and select higher than certain value so to select stocks with higher daily range

[RobGiles]

Enjoyed reading that thanks Scott. Is it not just a case that the current market type has not been as conducive to MR trading as it was in the early 2000’s. I met with a hedge fund manager last week who trades a long vol strategy, and has found it really tough over the past 5 or so years, as historical volatility has contracted significantly. Less vol, would equate to less profitable MR trades wouldn’t it?

[Author]

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