The Long(buy low/sell high) is 40 percent profitable.
2/22/2011
Trend Following.2
Entry when the crossover(+) happens between price and trend line. Exit when the crossover(-) happens between price and trend line.
The Long(buy low/sell high) is 40 percent profitable.
The Long(buy low/sell high) is 40 percent profitable.
2/17/2011
Working on the Trading System - Trend Following.1
Get FIR filter parameters from TFilter.
Get RUT, SPX, NASDAQ historical data.
Design Entry and Exit Method.
Entry:
1. Up Trend Confirmation
2. Crossover between Price and Trend Curve.
Exit:
1. Trail Stop
2. Stop Loss
3. Crossover between Price and Trend Curve.
Calculate Max drawdown and cumulative returns.
Note:
1. Inverting a losing strategy might not make it profitable.
Get RUT, SPX, NASDAQ historical data.
Design Entry and Exit Method.
Entry:
1. Up Trend Confirmation
2. Crossover between Price and Trend Curve.
Exit:
1. Trail Stop
2. Stop Loss
3. Crossover between Price and Trend Curve.
Calculate Max drawdown and cumulative returns.
Note:
1. Inverting a losing strategy might not make it profitable.
11/21/2010
CAPE Ratio vs Real Return for S&P500
From Robert Shiller's S&P500 data at http://www.irrationalexuberance.com/, the following chart shows the relationship between the cyclically adjusted price/earnings ratio and the annualized real return for the next 10 years (total return).
The trend line for the real return is r = 1.3056 / CAPE^0.076.
The trend line for the real return is r = 1.3056 / CAPE^0.076.
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