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Suppose at the close of August 27 the price exceeds EMA200 for the first time, then as long as you look at the probability of up down on August 28 (and following days) there is no statistical bias. Similarly when it goes below on September 13 close, you must count that day as "above EMA200", but the next day will be in the "below EMA200" category. In other ...


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You can find everything you want to know about this here (and in a very readable and easily reproducible form): How Students Can Backtest Madoff’s Claims by Michael J. Stutzer (2009) From the abstract: Markopolos’ writings neither described nor included any specific backtests of the strike conversion strategy. Fortunately, a backtest is relatively ...


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When position = 1, then you are long the S&P ETF. When position is -1, your portfolio consist of a short position of -1 S&P ETF. You will therefore have a vector like $Pos = (1,1,1,1,1,-1,-1,-1,-1,1,1,1,-1,-1,-1, \ldots)$, that will give you the evolution of your portfolio. Your returns are then the daily returns on the S&P multiplied by your ...



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