Search found 729 matches

by AFJ Garner
Tue Jun 23, 2015 10:33 am
Forum: Testing and Simulation
Topic: US Stock Rotation System
Replies: 7
Views: 5059

Re: US Stock Rotation System

So, here is what I did. I queried the CSI sdbfacts.csv file and extracted the 14,000 listed US stocks on NYSE, NASDAQ and AMEX which had a trading history of over 1 year. You can see below how many instruments this consists of on a time series basis (obviously the stocks had different start and end ...
by AFJ Garner
Sun Jun 07, 2015 11:05 am
Forum: Testing and Simulation
Topic: US Stock Rotation System
Replies: 7
Views: 5059

Re: US Stock Rotation System

Yes. But the portfolio was only around 1,000 stocks I seem to recall which had been preselected by liquidity. I think the better approach is to select ALL stocks you have access to and then filter by 90 day liquidity or some such as you go along. I selected all non OTC US stocks with a history of at...
by AFJ Garner
Tue Jun 02, 2015 9:22 am
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 14
Views: 13074

Re: Dual Momentum Gary Antonacci

Tomaso wrote:It does give very few trades so I take AFJ point plus the test is in period where both equities and bonds have gone up so the long only aspect of his thesis worked well.
Exactly!
by AFJ Garner
Thu May 28, 2015 1:26 pm
Forum: Data Providers and other non testing software
Topic: CSI - Please support my request
Replies: 1
Views: 2396

CSI - Please support my request

I asked Ron at CSI to add the below mentioned MSCI Country Indices to CSIs coverage. ron@csidata.com Here is the reply: At this point we will not be adding them. If we get any further request we will consider them. Anyone who wants these added: please email Ron. Reuters RIC .dMIAT00000P MSCI AUSTRIA...
by AFJ Garner
Thu May 28, 2015 10:58 am
Forum: Data Providers and other non testing software
Topic: Data providers for hong kong stock and china stock
Replies: 3
Views: 1528

Re: Data providers for hong kong stock and china stock

If you are a retail trader you can get Reuters on the cheap. http://www.metastock.com/products/realtime/xenith/?overview Metastock is a subsidiary of Reuters. You will need to code a VBA solution to download daily data into a spreadsheet and then export it into csv files for use with TB. Do not touc...
by AFJ Garner
Thu May 28, 2015 10:50 am
Forum: Data Providers and other non testing software
Topic: Data providers for hong kong stock and china stock
Replies: 3
Views: 1528

Re: Data providers for hong kong stock and china stock

It boils down to how much you are willing to pay. I have just been quoted £10 per stock per annum for daily txt files with a minimum of 500 stocks. IE a minimum charge of £5,000. You can get whatever you want as long as you are willing to pay for it. There ARE ways to get world stocks on the cheap.....
by AFJ Garner
Wed May 27, 2015 4:36 pm
Forum: Testing and Simulation
Topic: Percent Profit Factor
Replies: 4
Views: 2212

Re: Percent Profit Factor

For what it is worth my belief is that cherry picking a portfolio is one of the best areas of self deception in the whole business. Random portfolio testing is one of the best ways to test a strategy. Easier with mutual funds or stocks, somewhat more restricting with futures where the available rang...
by AFJ Garner
Tue Mar 31, 2015 11:11 am
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 14
Views: 13074

Re: Dual Momentum Gary Antonacci

Thank you for your replies, I may have unwantingly touched a sore point here. No offence was intended and sorry to have given the wrong impression. I guess I have been greatly put off forums having worked very hard on one with a partner who, I felt, let me down badly. These days I spend my time tal...
by AFJ Garner
Tue Mar 31, 2015 5:01 am
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 14
Views: 13074

Re: Dual Momentum Gary Antonacci

I have no problem with Antonacci's use of momentum. But I don't think his published tests are anything like comprehensive or convincing relying as they do on a very narrow set of indices. Doubtless somewhere or other on this and other forums I have droned on about random portfolios of instruments an...
by AFJ Garner
Fri Feb 20, 2015 8:12 am
Forum: Testing and Simulation
Topic: US Stock Rotation System
Replies: 7
Views: 5059

Re: US Stock Rotation System

The above was with an average lookback over a longer period. Here is the 3 month only look back.
CAGR%:
MAD DD%:
Around 1000 listed and de-listed stock chosen solely on grounds of the highest liquidity.
LogarithmicEquityGraph_P1.png
LogarithmicEquityGraph_P1.png (22.97 KiB) Viewed 5036 times
LinearEquityDrawdownGraph_P1.png
LinearEquityDrawdownGraph_P1.png (31.25 KiB) Viewed 5036 times
by AFJ Garner
Fri Feb 20, 2015 8:05 am
Forum: Testing and Simulation
Topic: US Stock Rotation System
Replies: 7
Views: 5059

US Stock Rotation System

Anthony, I wonder if I could trouble you to run a stock test for me, I dont think it would be much work. I do not have the necessary stock data. You may have already done this anyways. These are the rules: Portfolio = all tradeable stocks & ETFs Buy the top 100 performing instruments with a 3-month...
by AFJ Garner
Wed Jan 07, 2015 6:09 am
Forum: Stocks
Topic: Splits - Deriving from CSI
Replies: 5
Views: 3027

Re: Splits - Deriving from CSI

For any one who has any interest here are the results of my further investigation. Using the same stock I calculated 3 and 5 day moving averages of the adjusted close from 24th March 1993 to 2nd January 2005,the latter being the last date when a split occurred. The unadjusted close for each day was ...
by AFJ Garner
Tue Jan 06, 2015 6:02 pm
Forum: Stocks
Topic: Splits - Deriving from CSI
Replies: 5
Views: 3027

Re: Splits - Deriving from CSI

Although of course the non adjusted prices may be the culprit rather than the precision of the split adjustments. I will check it out tomorrow. In any event I would rather work from the actual split ratios than a derivation ( at least for our database). Regardless.
by AFJ Garner
Tue Jan 06, 2015 5:42 pm
Forum: Stocks
Topic: Splits - Deriving from CSI
Replies: 5
Views: 3027

Re: Splits - Deriving from CSI

We have the actual split data as part of the dividend files from CSI, so we could theoretically use that instead of the "stock split ratio close/uclose" that we use now. However we have not found a reason to as of yet. The close/uclose when adjusted for floating point variations seems to be spot on...
by AFJ Garner
Sat Jan 03, 2015 7:39 am
Forum: Stocks
Topic: Splits - Deriving from CSI
Replies: 5
Views: 3027

Re: Splits - Deriving from CSI

I am sorry to be tedious and dull, but if Tim is reading this he might like to think of the implications for Trading Blox. I think what it means is that given the precision CSI uses in its output, it will be impossible to faithfully replicate back tests as future splits/consolidations alter (even if...
by AFJ Garner
Sat Jan 03, 2015 7:15 am
Forum: Stocks
Topic: Splits - Deriving from CSI
Replies: 5
Views: 3027

Splits - Deriving from CSI

Currently, we have been deriving split ratios from CSI. Even though we use the maximal precision setting in CSI UA this only outputs to 8 decimal places in the txt files. Hnec you can not accurately derive split ratios from CSI adj/unadj close prices. Reuters output is to 15 decimal places. Perhaps ...
by AFJ Garner
Wed Dec 24, 2014 7:09 am
Forum: Testing and Simulation
Topic: Trend Following Without Rates?
Replies: 7
Views: 4262

Re: Trend Following Without Rates?

I don't know whether this might help your decision making?
US 10 year.png
US 10 year.png (44.69 KiB) Viewed 4174 times
by AFJ Garner
Tue Dec 23, 2014 11:05 am
Forum: Testing and Simulation
Topic: Trend Following Without Rates?
Replies: 7
Views: 4262

Re: Trend Following Without Rates?

The price of a futures contract is determined by the spot price of the underlying asset, adjusted for time plus benefits such as coupon and dividends.
by AFJ Garner
Tue Dec 23, 2014 6:34 am
Forum: Testing and Simulation
Topic: Trend Following Without Rates?
Replies: 7
Views: 4262

Re: Trend Following Without Rates?

Take a look at bond futures prices: 1) unadjusted and 2) back adjusted. Take a look at a bond index: 1) price only 2) with coupons reinvested. Take a look at a bond mutual fund: 1) price only and 2) with coupons reinvested. This will tell you where bond returns come from when you operate a constant ...