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8 Quantitative Trading Strategies (Backtests and Trading Rules) youtu.be/rlSkRMmycWo #Quantitative #tradingstrategies

Do Stocks Rally After Midterm Elections? Today is U.S. midterm Election Day, so we decided to look at a simple question: Do stocks rally after Midterm elections? We tested every midterm election from 1962 through 2022 and measured the S&P 500’s return after: 🔘 1 trading day 🔘 2 trading days 🔘 3 trading days 🔘 5 trading days 🔘 10 trading days 🔘 21 trading days 🔘 63 trading days That gives us 16 completed midterm elections. The purpose is not to predict what will happen after the 2026 election. Sixteen observations are a small sample, and elections differ substantially from one cycle to another. Instead, this is simply a historical seasonality study. The Results We put the code into AmiBroker and ran an exploration. This is the result: The table suggests that the period following U.S. midterm elections has generally been favorable for stocks. 63 days after the elections, which is about 3 months, only 2018 was negative. That said, this is a period where stocks in general perform pretty well. Want More Backtested Trading Strategies? We publish rule-based trading research, systematic market observations, and new trading strategies for traders who prefer evidence over opinions. Join our Skool community, Rule-Based Trading: skool.com/rulebasedtrading/a… We add new strategy research daily and discuss how systematic traders can turn market ideas into rules that can actually be tested.

MACD Histogram Trading Strategy in 2024 (Rules, Setup, Backtest, Example) The MACD-histogram trading strategy is a mean-reversion system that identifies momentum changes and reversal points in the stock market. The strategy has generated 6669 trades on a portfolio of 77 ETFs, with long positions better than short positions. Lets jump right into it. Let’s test a MACD-histogram trading strategy. We backtest the following trading rules: * The MACD Histogram bar must have fallen 4 days in a row. * The fourth latest bar must have been below zero. * The current close of the ETF must be lower than the day before. Entry is on the close. The exit is on the first day when the close is higher than the day before. I think this is a pretty good result. Assuming one can only trade a maximum of ten positions at a time as a portfolio, we get equity curve shown below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #TradingStrategies

📈 50 EMA TRADING STRATEGY – DOES IT WORK? (SETUP, RULES, BACKTEST RESULTS) 📊 The 50 EMA strategy is a technical analysis trading strategy that uses the 50-day EMA to identify the direction of the trend and to generate buy and sell signals. The strategy is typically used by traders who are looking to capture medium-term trends in the market, and it is often combined with oscillators and momentum indicators. We backtest a moving average crossover system with the following trading rules: ➨ When the close crosses above the 50-day EMA of the close, we go long. ➨ When the close crosses below the 50-day EMA of the close, we sell. Below is the equity curve for the gold price (GLD). Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #TradingStrategies

A Simple Trend-Following System and Strategy for the S&P 500 – Insights from Meb Faber and Paul Tudor Jones Go long the S&P 500 when the price moves above its 200-day moving average, and sell when it moves below. It may not be the most exciting strategy, but Meb Faber’s article is a great read, showing how simple ideas can still be powerful. The trading rules are simple: ➤ Buy when the close is above the 200-day moving average. ➤ Sell when the close crosses below the 200-day moving average. The logarithmic equity curve has a maximum drawdown of 28%, reached in 2002. The CAGR is 6.45%, compared to 7% for buy and hold. The test is not adjusted for dividends. The S&P 500 doesn't trend much in the short term, but over the long term, its general direction has been upward. Below is the equity curve since 1960. Can the strategy be improved or tested with different rules? If you have any suggestions, please comment 👇 #TradingStrategies

Overnight Trading: Strategies for Making Money and Insights Overnight trading involves buying at the close and selling either at the next day's open or close. We have previously covered strategies that buy at the close and sell at the next day's open in the S&P 500. In this post, we look at extending the holding period by a few more hours. The overnight edge in the stock market is well known and has been covered on this website several times. Most of the edge comes from the close to the next day's open. We backtest the following trading rule: ➤ Exit (or sell) at the open, since the average return from the open to the close has been zero over the last 30 years. Below is the equity curve for buying at the open and selling at the close (i.e., day trading). Can the strategy be improved or tested with different rules? If you have any suggestions, please comment 👇 #TradingStrategies

2 Trading Strategies That Buy Weakness 2 Trading Strategies That Buy Weakness focus on a simple but powerful idea: markets often rebound after short-term selling pressure, at least in the stock market. Most investors feel more comfortable buying when prices are rising. Buying after a decline feels uncomfortable, especially when the news is negative and momentum is pointing down. However, this is precisely where mean-reversion strategies can find opportunities! The idea is not to buy every dip. It’s to identify specific conditions where historical data suggests that selling pressure has gone too far and the odds favor a rebound. This is why we backtest. It’s no guarantee it will work in the future, but in our opinion it’s the best way to approach trading profitably. In this article, we revisit two previously published trading strategies that buy weakness. You can find the trading rules at the bottom of the article. ✳️Strategy 1: New Low Trading Strategy We quantified some trading rules (see rules at the bottom), and we got the following equity curve: Strategy type: Mean reversion strategy. Market: Tech stocks (QQQ). Performance👉 🔘No. of trades: 384 🔘Average gain per trade: 0.8% 🔘Win ratio: 70% 🔘Profit factor: 2 🔘Annual returns (CAGR): 10.9% 🔘Exposure/time in the market: 22% 🔘Risk-adjusted return: 48% (CAGR divided by time spent in the market (0.22)) ✳️Strategy 2: RSI Drop Trading Strategy We backtested it (trading rules at the bottom of the article) on the S&P 500: Performance👉 🔘No. of trades: 244 🔘Average gain per trade: 0.7% 🔘Win ratio: 81% 🔘Profit factor: 36 🔘Annual returns (CAGR): 5.1% 🔘Exposure/time in the market: 12% 🔘Risk-adjusted return: 42% (CAGR divided by time spent in the market (0.12)) 🔘Max drawdown: 14% (buy and hold 55%) Want More Backtested Trading Strategies? We publish rule-based trading research, systematic market observations, and new trading strategies for traders who prefer evidence over opinions. Join our Skool community, Rule-Based Trading: skool.com/rulebasedtrading/a… We add new strategy research daily and discuss how systematic traders can turn market ideas into rules that can actually be tested.

3 Days Down Overnight Trading Strategy Here is a simple mean reversion twist in SPY that holds the S&P 500 just one day (from the close to the next day’s open or close). It’s an overnight trading strategy, the lowest-hanging fruit in the stock market We backtest the following trading rules: * SPY must be down three days in a row (from close to close). * Entry on close on the 3rd down day. * Exit the next day open. Here is the equity curve (Shown in the image below) from 1993 for SPY, which tracks S&P 500, until today (backtest done in Amibroker) Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies

Triple RSI Trading Strategy: Boost Your Win Rate to 90% In this post we explain a fresh perspective on RSI with the Triple RSI Trading Strategy. This innovative approach harnesses the power of RSI in a new and modified form, boasting an impressive 90% win rate. With just 83 trades since 1993, it may seem conservative, but each trade delivers a robust 1.4% gain on average. We backtest the following trading rules: * The 5-day RSI is below 30, and * The 5-day RSI reading is down for the third day in a row, and * The 5-day RSI reading was below 60 three trading days ago, and * The close is higher than the 200-day moving average, and * If 1-4 are true, then buy at the close. * Sell at the close when the 5-day RSI crosses above 50. We backtest SPY – the ETF that tracks S&P 500. When we put the trading rules above into Amibroker, we get the equity curve shown below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #TradingStrategies

ADX Trading Strategy – Statistics, Facts, and Historical Backtests There are many ways to use the ADX indicator in trading strategies. Our research and backtests suggest that ADX is somewhat useful on its own but can add significant value when combined with other indicators. In this article, we examine how the Average Directional Index performs alongside other indicators and test a few ADX trading strategies. We backtest the following trading rules: ➤ If DI+ crosses above DI-, go long. ➤ If DI+ crosses below DI-, exit the position. The equity curve below shows how this strategy performs on the S&P 500, without commissions or slippage. Can the strategy be improved or tested with different rules? If you have any suggestions, please comment 👇 #TradingStrategies

3 Days Down Overnight Trading Strategy (S&P 500, Nasdaq, Rules, Performance, Video) We explain a simple mean-reversion strategy using SPY that holds the S&P 500 for just one day, from the close to the next day's open. It's an overnight trading strategy and one of the simplest opportunities to test in the stock market. We backtest the following trading rules: ➤ SPY must be down three consecutive days (close to close). ➤ Enter at the close of the third down day. ➤ Exit at the next day's open. Below is the equity curve for SPY, which tracks the S&P 500, from 1993 until today. The backtest was done in AmiBroker. Can the strategy be improved or tested with different rules? If you have any suggestions, please comment 👇 #TradingStrategies

Weekly Trading Strategy – Backtest with Weekly Charts, Returns, and Performance Analysis The weekly trading strategy is a method of trading that focuses on the weekly price action. This can take any form: It could be positional trading based on the price action on the weekly chart or using the weekly chart to get a broader view of the market for a trend-following system on the daily chart, or even a weekly rotation system. It could also be a weekly swing trading strategy that focuses on capturing the price movement of the weekly price bars. In this post, we take a look at the weekly trading strategy, and we’ll also make a backtest of a weekly strategy. We backtest the following trading rules: * Every Friday at the close we rank the ETFs based on one single variable. * Buy the one ranked the lowest. * Hold for one week and rinse and repeat. The equity curve of the strategy looks like the image shown below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies

200 Day Moving Average Trading Strategy – (With Backtest) The main advantages of the 200-day moving average are simplicity, riding the trend, and playing defense. However, without a recession and falling prices, you are unlikely to beat buy-and-hold because of the many whipsaws. As with most things in life, the 200-day moving average comes with both pros and cons. The 200-day moving average strategy is no silver bullet. This post looks at the 200 day moving average and how it works, why it works, and additionally why it sometimes doesn’t work. We present a 200-day moving average strategy and the simple 200-day moving average rule. We backtest the following trading rules: * Buy when the close of the S&P 500 crosses above the 200-day average, * Sell when it closes below the average. The equit curve is shown below. Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies

SPY Trading Strategy Using RSI It turns out our hypothesis was correct: RSI works well on SPY. Even better, we found a way to improve the strategy by adding one extra indicator. We backtest the following trading rules: ➤ If RSI(2) is below 15, enter at today's close. ➤ Exit at the close when today's close is higher than yesterday's high. The accumulated profit curve from 1993 until today is shown below. Can the strategy be improved or tested with different rules? If you have any suggestions, please comment 👇 #TradingStrategies

Larry Connors’ R3 Strategy (Does It Still Work?) – Trading Strategies Explained Today, we test Larry Connors’ R3 strategy as part of our ongoing series exploring the trading strategies published in his 2009 book, High Probability ETF Trading. Connors and his team originally tested these strategies on a basket of 20 liquid ETFs. We take a closer look at the R3 strategy and its performance. We backtest the following trading rules: ➤ The close must be above the 200-day moving average. ➤ The 2-day RSI must decline for three consecutive days, with the first day's reading below 60. ➤ The 2-day RSI must be below 10 today. ➤ If all three conditions are met, buy at today's close. ➤ Exit at today's close when the 2-day RSI rises above 70. Below is the compounded equity curve for the S&P 500 (using SPY). Can the strategy be improved or tested with different rules? If you have any suggestions, please comment 👇 #TradingStrategies

A Simple Trend Following System and Strategy in the S&P 500: Insights from Meb Faber and Paul Tudor Jones: Go long the S&P 500 when the price crosses the 200-day moving average, and sell when it crosses below the 200-day average. This is probably not the most sensational strategy, to say the least. However, Faber’s article is a great read because of his “simple” ideas, yet very powerful. The trading rules are simple: We buy when the close is above the 200-day moving average, and sell when it crosses below. The logarithmic equity curve above has a max drawdown of 28%, reached in 2002, and the CAGR is 6.45% while buy & hold is 7% (the test is not adjusted for dividends). S&P 500 trends little in the short term, but in the long term, it trends upward. The equity curve looks like this since 1960 (Shown in the image below) Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies

Overnight Trading: Strategies for Making Money and Insights You do overnight trading by buying the close and either selling at the next day’s open or close. We have previously covered how you can buy at the close and sell at the next day’s open in the S&P 500. This post looks at how you can expand the time frame and hold for a few hours more. The overnight trading edge in the stock market is a well-known edge and has been covered on this website multiple times. The edge is mainly from the close until the next open. We backtest the following trading rule: We exit (or sell) on the open because the average gain from the open to the close has been zero during the last 30 years. Below is the chart showing the equity curve if you bought the open and sold on the close (ie, day trading). Can the strategy be improved or made different? If you have any suggestions, please comment 👇 #tradingstrategies