Bookmark
I've been focusing on the book Book Notes - Quantitative Trading Strategies. I've read the first 90 pages today.
Wrote some new EasyLanguage strategies to implement ideas in the book:
- Channel Breakout Strategy, pg. 90
- Channel Breakout With Filtering And Stop Loss and Stop Limits - My enhancements to test the effectiveness of Online Trading Academy rules for overall market, Trin, and Tick as filters.
On two stocks I am trading recently, GS and MET, the Channel Breakout Strategy has a dismal record when applied to one minute chart. OTA rules to help limit the losses, but they don't make it profitable.
Also wrote routines to analyze the occurrences of runs of consecutive ups and downs, Stock Trend Run Length. Am still working on a variation that will show the results for several consecutive time periods, for example 1000 days broken into 100 day segments.
I also went through the ACM portal looking for scholarly papers on stock market trading strategies. I found several papers on trading simulated markets, several on ecommerce trading strategies, and a few directly related to the stock market, and included their abstracts in the wiki. As I get time to read them and study them, I'll add more notes here.