Profitable Insights into Financial Markets
In part 1 of the series, I introduced the blackarbs retirement algorithm, a long only leveraged ETF strategy meant to perform at or better than SPY (the market benchmark) with less volatility. I discussed the goals I set for the algo and how thus far in simulated backtests and live trading it has met those goals. In this post I want to talk about the development process and robustness testing of the algorithm.
Read MoreBlackarbs current mission is to create automated strategies with the goal of beating the market with superior risk adjusted returns. Originally, I wanted to illuminate some of the more hidden aspects of markets and investing that I found interesting and of value. Over time, that goal crystallized into creating a strategy or strategies that made (potential) superior performance accessible to investors of all types and demographics. To this end I believe we have finally created a flagship algorithm.
Read MoreThis is an old concept concerning the opening range. The idea is that the opening range often sets the day’s high or low within the first hour of cash equities trading (9:30 am - 10:30 am EST). Recently a trader on [Youtube] made the claim that you can know with 88% probability the high or low of the day after the first hour of trading. He managed to successfully re-popularize the idea of using the opening range in a a more specific way than other methods.
In this article I set out trying to validate or reject this claim with the available intraday data I have. Ideally, if this claim is true, there should be a methodology or mechanical trading approach to exploit this phenomenon.
Read MoreAccess to high quality, cost effective market data is a continuing problem for retail traders. I was recently told about the ongoing efforts of the startup brokerage “Alpaca”. The gentleman I spoke with said the API gave access to the tick data of thousands of stocks everyday and without cost.
I thought it was too good to be true but recently I took a little bit of time to investigate.
Read MoreIn this post I will be reviewing the course “Mean Reversion Strategies in Python by Dr. E.P. Chan” (<—affiliate link, use discount code LONGSHORT for an additional 5% off at checkout). In mean reversion strategies, the course author focuses on three categories of mean reversion systems. These are pairs trading, index arbitrage, and cross-sectional long-short strategies.
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