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  1. Larry Connors' Cumulative RSI: 26% annual return (now with sensitivity analysis)

    Hey guys, This week, I tested the enhanced strategy as suggested by Larry Connors in his "Short Term Trading Strategies That Work” book. It uses...
    Thread by: quantitativo, Jun 23, 2024, 20 replies, in forum: Strategy Building

  2. Larry Connors' 2-day RSI Holy Grail: adapting a strategy to deliver 30% annual return since 1999

    The strategy presented & demonstrated in the book trades only 1 instrument. In my tests, thinks kind of worked, but most of the results came...
    Post by: quantitativo, Jun 17, 2024 in forum: Strategy Building

  3. Larry Connors' 2-day RSI Holy Grail: adapting a strategy to deliver 30% annual return since 1999

    Hey guys, This weekend, I tested an interesting idea from "Short-Term Trading Strategies That Work" by Larry Connors. The original idea doesn't...
    Thread by: quantitativo, Jun 17, 2024, 10 replies, in forum: Strategy Building

  4. The edge in trading IPOs: 18% annual return

    Understood now, thx! Let me try...
    Post by: quantitativo, Jun 10, 2024 in forum: Strategy Building

  5. The edge in trading IPOs: 18% annual return

    Matplotlib
    Post by: quantitativo, Jun 10, 2024 in forum: Strategy Building

  6. The edge in trading IPOs: 18% annual return

    Yes, this is a backtest using a survivorship bias free dataset (Nasdaq Sharadar Core US Equity Bundle)
    Post by: quantitativo, Jun 10, 2024 in forum: Strategy Building

  7. The edge in trading IPOs: 18% annual return

    Oh, I applied a filter. We only trade mid-, large-, and mega-cap IPOs; we dont trade small-cap IPOs. (I described all details in the write-up…...
    Post by: quantitativo, Jun 10, 2024 in forum: Strategy Building

  8. The edge in trading IPOs: 18% annual return

    [IMG] The strategy worked well in 2020 and 2021 (both years returned over 40%). When we look at 2022, 2023, and 2024, the returns were below...
    Post by: quantitativo, Jun 9, 2024 in forum: Strategy Building

  9. The edge in trading IPOs: 18% annual return

    Nasdaq Sharadar US Equity Bundle dataset. great vendor
    Post by: quantitativo, Jun 9, 2024 in forum: Strategy Building

  10. The edge in trading IPOs: 18% annual return

    Hi, Some weeks ago, I listened to a great strategy shared by Marsten Parker in a podcast interview. I backtested it and was surprised at the...
    Thread by: quantitativo, Jun 9, 2024, 14 replies, in forum: Strategy Building

  11. Tech stocks and Treasury yields Spread: 22% annual return in past 15yrs

    Interest rates, influenced by Treasury bond yields, are crucial in determining the discount rates used in valuing stocks. When Treasury yields...
    Thread by: quantitativo, Jun 2, 2024, 5 replies, in forum: Strategy Building

  12. Companies investing billions in ai, what if no monetary gain is possible?

    This is an excellent point! [MEDIA] In this great analysis, prof. Galloway argues we might already be in an AI bubble, making exactly your...
    Post by: quantitativo, May 29, 2024 in forum: Trading

  13. Turnaround Tuesdays on Steroids: 29% annual returns since 1999, with only two negative years

    I'm sharing so we can talk about it and potentially improve it. Also, if there are people looking for ideas to try out, they might find these...
    Post by: quantitativo, May 26, 2024 in forum: Strategy Building

  14. Turnaround Tuesdays on Steroids: 29% annual returns since 1999, with only two negative years

    No, TQQQ's inception was on 2011-02-09. Backtesting from 2011 to today resulted in a 2.03 Sharpe with 28.7% annualized returns in comparison to...
    Post by: quantitativo, May 26, 2024 in forum: Strategy Building

  15. Turnaround Tuesdays on Steroids: 29% annual returns since 1999, with only two negative years

    TQQQ, the ETF that tracks QQQ 3x leveraged
    Post by: quantitativo, May 26, 2024 in forum: Strategy Building

  16. A Mean Reversion Strategy with 2.11 Sharpe

    Thanks, I will try your exit suggestions! About the entries, I'm placing orders at the next day's opening, actually.
    Post by: quantitativo, May 26, 2024 in forum: Strategy Building

  17. Turnaround Tuesdays on Steroids: 29% annual returns since 1999, with only two negative years

    Hey guys, Just tested a strategy that has achieved an impressive 29% annual returns since 1999, with only two negative years: the Turnaround...
    Thread by: quantitativo, May 26, 2024, 13 replies, in forum: Strategy Building

  18. A Mean Reversion Strategy with 2.11 Sharpe

    You are right! In fact, I tested a Long&Short portfolio using QQQ and PSQ. The results are in the full write-up, here's the link.
    Post by: quantitativo, May 21, 2024 in forum: Strategy Building

  19. A Mean Reversion Strategy with 2.11 Sharpe

    Yeah, you are right. I'll test the 2 avenues to increase the exposure time (add complementary strategies, and trade Nasdaq 100 instruments...
    Post by: quantitativo, May 21, 2024 in forum: Strategy Building

  20. A Mean Reversion Strategy with 2.11 Sharpe

    Thanks! Not yet, I'm forward-testing it first. Also, I don't think this strategy is ready to be traded as is, because the exposure time is too low...
    Post by: quantitativo, May 21, 2024 in forum: Strategy Building
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