Category: Mechanical Trading Systems
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How Markets Really Work by Larry Connors
Chapter 1 Chapter 2: Short-Term Highs and Short-Term Lows Average one week gain (%) for S&P after it makes a High Low 5 day -0.02 0.43 10 day -0.03 0.51 Average one week gain (%) for Nasdaq after it makes a High Low 5 day 0.08 0.57 10 day 0.20 0.74 Chapter 3: Higher Highs…
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Mean Reversion Trading Systems by Howard Bandy
These are notes complied from Howard B. Bandy’s excellent book: Mean Reversion Trading Systems. The notes here are based on what is relevant to me and does not cover everything that is discussed in the book. In addition, I did not copy all the code examples (aka listings) in the book. If you are interested…
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Quantitative Trading Systems (2nd Edition) by Howard B. Bandy
These are notes complied from Howard B. Bandy’s excellent book: Quantitative Trading Systems. The notes here focus on Chapters 9 to 17, which primarily discuss different trading systems and strategies. The post is a work-in-progress and will be updated as I complete the different chapters. Chapter 9: Trending Systems Key Takeaways He gave an example…
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Understanding Amibroker’s ExRem() and Flip() functions
Have not been posting much because I have been learning more about Amibroker. I re-read Howard Bandy’s book “Quantitative Trading Systems” and also watched some YouTube videos. Here’s a very useful video that I watched on how to scale in and out of a position: Amibroker When it comes to Amibroker, I think I have…