Momentum trading – guidance for practical implementation. Strategy backtest and trading metrics.

Last update February 26, 2020 Trading idea – every month on the last trading date, the close price for each tradable instrument is under testing observation to define the % of deviation from the price at the start of Timing period (3 months for given trading strategy). The instrument that was able to demonstrate the …

Macroeconomic forecast. Measuring of contraction risk in US economy.

Last posting 09/08/2019 In prior observation, I have pointed out worsening conditions that increased risk of recession such as Delinquency rate +2 points, Corporate profit +1 and Loan provision rate +1 point. The total score was 22 points and it corresponding to recession risk equal to 30%. Only one metric was marked as positive – …

Gap trading strategy: Backtest and key factors for successful implementation

Calculation link … https://drive.google.com/file/d/18ABFxd7zqzdyeoY1qHpr2xQPFU1bPSYQ/view?usp=sharing In this post, I will describe the main idea of quantitative trading and will demonstrate how it works using GAP trading model and appropriate timing tools. The modern trading algorithm based on a robust and sophisticated set of orders that reflect different execution styles and described in the post. In addition, …

GAP strategy using NASDAQ ETF QQQ: trading results and reasons of sustainable positive outcomes

In the prior post about the GAP strategies implementation as quantitative investments, we explored earlier SPY ETF (SPX500) as main instrument for GAP trading. Prior post caused high interest to this topic and I decided to extend this research and explain this phenomenon. From mathematical point of view, we can detect that Sum of GAPs …