Dump it Here

Skate said:

Market sentiment, market direction indicator
I recently received a "PM" about another concept to determine market sentiment or market direction. It's the "canary in the coalmine" indicator. To get a grasp of the concept, even though the strategy is rotational, the canary market indicator can be adapted to any system type.

Introducing Protective Asset Allocation
Protective Asset Allocation (PAA) is a new provident long only tactical investment strategy that combines a dual momentum approach with a vigorous capital preservation routine. The key elements of PAA are:

(a) Dual momentum-based timing and selection mechanic
(b) Innovative crash protection routine through protective momentum
(c) Support for separate “risk-on” and “risk-off" universes

To read more
https://indexswingtrader.blogspot.com/2016/04/introducing-protective-asset-allocation.html#:~:text=Introducing Protective Asset Allocation,based timing and selection mechanism

Abstract
Since the financial crisis of 2008 and the recent (end of 2015) pullback, investors are searching for less risky investments. Therefore, there is a growing demand for low risk/absolute return portfolios. The paper describes a simple dual-momentum model (called Protective Asset Allocation or PAA) with a vigorous “crash protection” which might fit this bill. It is a tactical variation on the traditional 60/40 stock/bond portfolio where the optimal stock/bond mix is determined by multi-market breadth using dual momentum.

Read more here
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2759734

Download the paper
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2764043_code1935527.pdf?abstractid=2759734&mirid=1

Reposted the hyperlink without permission
Thanks must go to the ASF member for forwarding the link.

Skate.

Click to expand...

Movendi said:

View attachment 104883

Can someone explain after 4pm what's the reasoning behind these large orders way beyond the market price?
You can see a $1.7mil sell order at $5.92 when market closed at $6.24.

Click to expand...

martyjames said:

Hi Skate, Learning a lot from you and your system uploads - thanks. Upload both if possible please

Click to expand...

1. // https://norgatedata.com/AmiBroker-usage.php */
   
   /*include all Norgate functions for survivorship free backtests */
   
   #include_once "Formulas\Norgate Data\Norgate Data Functions.afl";
   
   /* General settings */
   
   index = "$SPX"; /* choose index which you test;
   
   don't forget this to set also in backtester settings "pad and align"!
   
   e.g. Norgate symbols $SPX=S&P500, $SP1500=S&P1500,
   
   $NDX=Nadaq100, $DJI=DowJones 30, $RUT=Russell 2000,
   
   $RUA= Russell 3000, $XAO.au = Sidney All Ordinaries 500
   
   more see https://norgatedata.com/data-content-tables.php; */
   
   /* Strategy parameters */
   
   NumberPositions = 20;
   
   /* Number of positions which you can hold at the same time*/
   
   BollTopPrds = 180;
   
   /*compare with Appendix 1. Futures: default = 60 */
   
   BollingerTopWidth = 3.5;
   
   /* For entry, compare with Appendix 1. Futures: default = 2 */
   
   BollBottWdth = 0.5;
   
   /*For exit, compare with Appendix 1. Futures: default = 2 (for shorts) */
   
   IndexFilterLength = 300; /*set Filter Length*/
   
   ScoreLength = 300; /*Score lenght */
   
   BollBottPrds = BollTopPrds; /*same length for both bands*/
   
   SetOption("MaxOpenPositions", NumberPositions);
   
   SetPositionSize(100 / NumberPositions, spsPercentOfEquity);
   
   InitialEquity = 100000;
   
   CommissionAmount = 0.25;
   
   /*this means 0.25% at entry AND 0.25% at exit of a position */
   
   SetOption( "InitialEquity", InitialEquity );
   
   SetOption( "CommissionMode", 1 ); /*1 = percent, 2 = fixed */
   
   SetOption( "CommissionAmount", CommissionAmount );
   
   RoundLotSize = 0;
   
   /* 0: fractional number of shares are allowed */
   
   /* Preparation for Entry and Exit */
   
   indexFilter = NorgateIndexConstituentTimeSeries(index);
   
   upperBand = BBandTop(C, BollTopPrds, BollingerTopWidth);
   
   LongEntry = C >upperBand /* Price is above the upper Bollinger band */
   
   AND Ref(C<upperBand, -1)
   
   /* Price the day before is below the upper Bollinger band */
   
   AND indexFilter;
   
   /* make sure you have the correct stock universe */
   
   LongExit = C < BBandBot(C, BollBottPrds, BollBottWdth);
   
   /* price is below the bottom Bollinger band */
   
   /* Market index filter. Allow positions only when index is in uptrend,
   
   defined by a simple moving average of 300 days*/
   
   SetForeign(index);
   
   /*Norgate $SPX, $SP1500, $NDX, $DJI, $RUT=Russell 2000,
   
   $RUA= Russell 3000, Sidney All Ordinaries
   
   (Australian stock market) $XAO.au
   
   see here https://norgatedata.com/data-content-tables.php;
   
   */
   
   IndexDownTrend = C < MA(C,IndexFilterLength);
   
   /*IndexDownTrend = LinRegSlope(C, IndexFilterLength) ;
   
   // another possible option to define trend */
   
   RestorePriceArrays();
   
   /* In the case you get many different signals, buy the
   
   stocks with the highest momentum over the last 300 days first*/
   
   Rank = 100 + Ref(ROC(C, ScoreLength),-1);
   
   PositionScore = Rank;
   
   /* The entry and exit trigger */
   
   Buy = Ref(LongEntry,-1)
   
   /* Price is today above the Bollinger band */
   
   AND !Ref(IndexDownTrend,-1);
   
   /* Index Filter: Don't enter new positions in a bear market */
   
   Sell = Ref(LongExit,-1)
   
   OR DateTime()==GetFnData("DelistingDate")
   
   /* sell if stock is de-listed */
   
   OR !indexFilter ;
   
   /* sell if stock has to leave the index */
   
   BuyPrice=SellPrice=Open; /* Buy and Sell on the next days open;
   
   Close instead of open could improve performance */
   
   Short = Cover = 0;
   
   /* for visualisation, optional */
   
   /* Plot(C,"Close", colorBlack, styleCandle);
   
   Plot(BBandTop(C, BollTopPrds, BollingerTopWidth),
   
   "BollEntry", colorGreen, styleThick);
   
   Plot(BBandBot(C, BollBottPrds, BollBottWdth),"BollExit"
   
   , colorRed, styleThick);
   
   Plot(ma(CLOSE, BollTopPrds),"MovAvg", colorBlack, styleThick); */
   

Willzy said:

Hi all,

I know this is probably not the thread to use but couldn't find a better alternative. I'm wondering if anyone out there is using the specific techniques / systems taught in H_Bandy's book Quantitative Technical Analysis?

I know its not everyone's cup of tea but it's been something I've been dabbling with for the last year or two. I've taken a very simple strategy often used in mean reversion (the basic rsi model) and used a combination of H_Bandy's example python code and my own to try and find stocks (predominantly US) that can be traded with such a system.

The python code cycles through a watchlist picking each stock individually optimizing on inSample data to find a good rsiPeriod, entryLimit and exitLimit then tests those settings out of sample.

Obviously some stocks are just no good at all but others look like this the one below attached below.

I was trading several of these systems at the same time on a MT5 demo account and all was great the first six months looked amazing.... well until COVID cleaned house!

Just want to know if anyone else is doing something similar with python (basic models or machine learning)

Happy to have this moved to a new thread if necessary.

Cheers!

Click to expand...