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Strategies/ Systems

January 23, 2020 By Joe Marwood 1 Comment

10 Trading Strategies For A Bear Market

Interest rates are low, taxes are low and the stock market is firing on all cylinders.  The current bull market is already the longest in history and just a few percent away from being the largest in history.  But bull markets cannot last forever. Some time in the not too distant future a bear market […]

Filed Under: Investing, Lists, Strategies/ Systems Tagged With: investing, strategies

December 19, 2019 By Joe Marwood 1 Comment

Try This Profitable Trade Setup

In this article we will look at a simple trade setup that has been backtested on US stocks and shown to be profitable over nearly 20 years of historical data.  We will then consider the benefits and risks of this setup and whether it might be possible to improve the setup with additional analysis. An […]

Filed Under: Stocks, Strategies/ Systems Tagged With: stocks, trading systems

November 19, 2019 By Joe Marwood 9 Comments

How To Automate Your Trading With Amibroker 

Long time users of Amibroker will know that it’s an excellent software for backtesting, scanning and many other tasks. However, automation of trading strategies is not one of it’s strengths. Fortunately there’s a new and simple solution which I discovered in a new class called Trading And Investing Automation For Amibroker.  This solution involves linking […]

Filed Under: Amibroker, How to, Strategies/ Systems Tagged With: amibroker, trading systems

October 7, 2019 By Joe Marwood 1 Comment

How Do Stocks React To Blockchain Announcements?

Recently a study called Bitcoin Speculation or Value Creation was published looking at how individual stocks react to the news that their firm is investing in blockchain technology. The authors found an average price gain of nearly 15% after the first announcement but this is typically followed by a price reversal over the following three […]

Filed Under: Ideas, Stocks, Strategies/ Systems Tagged With: blockchain, trading systems

September 24, 2019 By Joe Marwood 8 Comments

Testing A Reader’s RSI Trading Strategy

A reader asked if I could backtest a trading strategy based on the RSI(2) technical indicator. Most RSI strategies trade mean reversion setups, however, this is actually a trend following strategy. The idea is to follow trends and use an RSI(2) pullback to get a better price entry. We wait for the RSI(2) to turn back […]

Filed Under: Amibroker, Strategies/ Systems, Technical Analysis Tagged With: amibroker rsi stocks

September 22, 2019 By Joe Marwood 4 Comments

26 Stock Market Strategies That Beat Buy And Hold

Profitable stock market strategies are not easy to come by. One proven path is to seek out stock market anomalies. A stock market anomaly is a rate of return or investment strategy that seems to defy the efficient market hypothesis. Today, most investors agree that markets are fairly efficient even if they don’t believe in […]

Filed Under: Lists, Stocks, Strategies/ Systems, Top Posts Tagged With: list, stocks, strategies

August 22, 2019 By Joe Marwood 2 Comments

Improving Trend Following With The PE Ratio

Trend following with price to earnings

In a previous article we looked at the effects of introducing price to earnings data to a mean reversion strategy.  Although the effects were quite small, we found that we could improve a simple RSI strategy by avoiding stocks with negative PE ratios.  We also found that stocks with PE ratios over 15 produced higher […]

Filed Under: Stocks, Strategies/ Systems, Trend Following Tagged With: stocks, trading systems

August 8, 2019 By Joe Marwood 1 Comment

Should You Combine Trading Strategies?

The general advice with trading systems is that you should try to combine multiple trading strategies together in order to get the benefit of diversification.  Having a suite of profitable trading algorithms means that you can obtain a smoother drawdown and reduce your chance of having a losing day, week, month, year.  However, is it […]

Filed Under: Stocks, Strategies/ Systems, Top Posts Tagged With: amibroker, trading systems

July 24, 2019 By Joe Marwood 4 Comments

Improving Mean Reversion Strategies With PE Ratio

Testing rsi systems with pe data

I’ve always wondered whether you can improve a trading strategy by including fundamentals.  For example, should you trade mean reversion stocks with a low PE or a high PE? Most mean reversion strategies use technical indicators and the RSI(2) and RSI(3) indicators are particularly popular among traders.  However, there isn’t much research on combining those […]

Filed Under: Stocks, Strategies/ Systems Tagged With: stocks, trading systems

July 16, 2019 By Joe Marwood 5 Comments

Does This Trading System Really Make 20% Per Year?

The trading website Finviz.com shows a simple strategy based on the RSI indicator with an annualised performance of 19.59% per pear. The rules are to go long a stock from the S&P 500 when RSI(5) crosses under 20 and to sell when RSI(5) crosses back over 50.  The following chart shows the backtest performance published […]

Filed Under: Amibroker, Stocks, Strategies/ Systems Tagged With: stocks, trading systems

June 20, 2019 By Joe Marwood Leave a Comment

Should You Ignore Financial Stocks?

should you ignore the financial sector

The financial sector took a battering in the 2008 crash which led to at least two major headwinds for financial stocks: Financial companies became highly regulated. New laws came in that prevented banks and other institutions from making the big profits they were used to. Quantitative easing caused interest rates to drop to record lows. […]

Filed Under: Amibroker, Stocks, Strategies/ Systems Tagged With: stocks, trading systems

June 7, 2019 By Joe Marwood Leave a Comment

Investigating Skewness And The Lottery Effect In Stocks

lottery effect feature image

The lottery effect explains our willingness to accept poor odds for a chance to win a huge sum. It’s why millions of us play Lotto or the PowerBall despite huge odds of one in 292,201,338*. We don’t mind spending a few bucks for the chance to win a gigantic sum, even though the odds are […]

Filed Under: Amibroker, Investing, Strategies/ Systems Tagged With: strategies, trading systems

April 3, 2019 By Joe Marwood 5 Comments

Testing The Half Day Reversal Strategy

While browsing Quantpedia I came across another interesting trading strategy called the Half-day Reversal. This is a short-term, mean reversion strategy that buys the worst performing stocks in the S&P 500 and holds them overnight. The indicated performance is 57.7% per annum with a Sharpe ratio of 3.03. These are incredible numbers so let’s put […]

Filed Under: Amibroker, Stocks, Strategies/ Systems Tagged With: stocks, strategies

March 25, 2019 By Joe Marwood 9 Comments

The Truth About Intraday Momentum

A few years ago an interesting paper called Market Intraday Momentum was published which revealed a simple trading edge for the S&P 500 ETF. According to the paper, the first half-hour in the S&P 500 predicts the last half-hour. So if the first half-hour is positive, the last half-hour also tends to be positive. In […]

Filed Under: Amibroker, Intraday, Strategies/ Systems, Top Posts Tagged With: intraday

March 11, 2019 By Joe Marwood Leave a Comment

What Is The Long Term Performance Of Microcap Stocks?

Microcap stocks are great for day traders and swing traders because of their volatility. But I wanted to know how well they perform on longer timeframes. In this article we analyse a decade of performance data to see what you can expect from investing in microcap stocks. Data Preparation To do this analysis we will […]

Filed Under: Investing, Stocks, Strategies/ Systems Tagged With: investing, microcaps, stocks

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About The Author

Joe Marwood is an independent trader and investor specialising in financial market analysis and trading systems. He worked as a professional futures trader for a trading firm in London and has a passion for building mechanical trading strategies. He has been in the market since 2008 and working with Amibroker since 2011.

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