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8 Quantitative Trading Strategies
(Backtests and Trading Rules)
youtu.be/rlSkRMmycWo
#Quantitative #tradingstrategies
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QuantifiedStrategies.com
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QuantifiedStrategies.com
@QuantifiedStrat
Daily backtested quant edges on Stocks/ETFs/Futures. 1000+ algo trading strategies tested since 2012. Full library: https://t.co/Op6cQYH2VZ
Nordic Tham gia Temmuz 2021
125 Đang theo dõi16.5K Người theo dõi
You must understand the potential risk in your strategies, but above all, you must stress test your brain:
Can you deal with drawdowns and consecutive losing trades?
You’ll be surprised how pessimistic you get after just a few losses and small drawdowns.
A 20% drawdown looks like a walk in the park when you are simulating strategies, but when money is at stake, you’ll most likely abandon a strategy even with smaller drawdowns.
You must beat your brain before you beat the markets!
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Day trading with daily bars? Is it possible?
Think day trading means glued to 5-minute charts?
Think again!
You can day trade effectively using daily bars, and it might even be a better solution for most traders.
What's a "bar" anyway?
In trading, a bar represents the open, high, low, and close prices within a specific period. A "daily bar" captures these four points for an entire trading day.
The conventional wisdom suggests intraday charts, but here’s why daily bars are argued to be superior for day traders:
Key Advantages:
• Reduced Behavioral Mistakes: Less screen time means fewer impulsive decisions and helps avoid biases like overconfidence (for example), leading to more systematic trading.
• Less Market Noise: Daily bars filter out the constant fluctuations of intraday volatility, making underlying trends clearer. Much of the price action during the day is just noise anyway.
• Time Efficiency: This approach allows traders more time for research and backtesting, rather than constant chart monitoring. It also makes day trading compatible with a full-time job, as entries and exits can be focused around the open and close.
• Lower Costs: Focusing on open and close trades can mean fewer transactions, leading to less commissions and slippage.
Consider the Downsides:
• Fewer Trading Opportunities: By limiting focus, you might miss some intraday chances.
• Potential for Bad Quotes: Daily high and low prices can sometimes be inaccurate due to after-hours activity or delayed reporting.
#daytrading
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Here is a short visual version of Williams Percent Range Indicator Backtest.
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Today is OPEX day (options expiration) - the third Friday of the month.
It’s a good day for making money in stocks!
Months ago, we published a note on how to trade this day:
QuantifiedStrategies.com@QuantifiedStrat
This is how you make money in stocks on the third Friday of the month: Trading rules based on market imbalances: Adjust each stock’s closing price based on the movement of the S&P 500 futures. This gives you the fair value for the stock. For example, if futures points to a 0.5% higher open, mark the stock’s fair value as 0.5% above the prior close. Next, place both buy and sell orders around this fair value. A buy order at x% below, and a short order at x% above. For instance, you might buy 0.5% below fair value and short 0.5% above it. Simple and mechanical. You need to send many orders. At the open, some will get filled while many don’t. On busy days, you could end up with positions in as many as 200 tickers. Exits are handled with a mix of profit targets and time-based exits. These are the basic rules, but you most likely need a few twists. We have been trading these imbalances and it has always been the most profitable day of the month (on average). However, for retail traders, it’s not easy to trade it because you need to send a large number of limit orders (open only orders). This takes buying power and automation. Moreover, you never know how many fills or stocks you will end up with. We used to send over a thousand orders. The logic behind the strategy: A large portion of global index derivative trading activity centers on products tied to the S&P 500 index (SPX). Many of these derivatives, like certain futures and options, are “a.m.-settled,” meaning their final payoff price is determined by the index’s opening price on the third Friday of the month, known as the Special Opening Quotation (SOQ). These settlement prices have been consistently biased upwards for the last 25 years. Here is the specific price pattern: 1. Drift Up: S&P 500 equity prices drift steadily upward from the close of regular trading on Thursday to the open on the 3rd Friday morning (9:30 AM E.T.). On these specific days, the SOQ exceeds the previous closing price by an average of 18 basis points (0.18%). 2. Sharp Reversal: Immediately after the derivative payoffs are calculated at the open, the price rise reverses sharply, falling back down by about noon the same day. This creates a distinctive “tent-shaped reversal pattern”. It is confined specifically to the a.m. settlement window. It is also documented in other major indices that use a.m. settlements, such as the Nasdaq 100 and the Dow Jones Industrial Average. #DayTrading
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@TheLineBetween2 The strategies were published years ago on our website.
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@QuantifiedStrat Is there out of sample data used for these tests?
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Overnight Trading Strategy: The 3-Day Down Setup.
A classic "Mean Reversion" strategy that exploits the "Overnight Effect," where the majority of S&P 500 returns historically occur between the close and the next day's open.
One simple rule.
The Strategy: 3-Days Down
✅Asset: $SPY (S&P 500)
✅Trigger: Market closes lower 3 days in a row.
✅Entry: Buy at the 3rd day's close.
✅Exit: Sell at the next day's open.
Results (Since 1993):
✅ 643 Trades
✅ 65% Win Rate
✅ 8% Max Drawdown
The "Greed" Twist: If you hold until the next day's CLOSE instead of the open:
✅Average gain jumps to 0.24% per trade.
✅But... win rate drops and drawdown increases significantly.
Optimization:
By refining the entry/exit, our version hits ~0.35% per trade with lower volatility.
#TradingStrategies #SPY #quantifiedstrategies
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73% Win Rate Multi-Timeframe Strategy (Backtested)
Multi-timeframe analysis is an interesting idea if you do it right. Here’s the simple strategy idea:
✅ Macro: Follow the long-term trend.
✅ Micro: Enter on short-term pullbacks.
The Backtest Results (ETF):
📊 316 Trades
🎯 73% Win Rate
📉 ~10% Max Drawdown
#MultiTimeframeAnalysis #TradingStrategy
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What’s the #1 thing that kills most trading strategies?
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