Showing posts with label Rotation. Show all posts
Showing posts with label Rotation. Show all posts
Wednesday, September 28, 2016

Momentum Rotation System AmiBroker Code

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I've received several requests for details on the AmiBroker (AB) code and settings used for the backtest shown in my April post: Moment...
5 comments:
Thursday, July 14, 2016

Momentum Rotation Multiple System Results

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In the last two posts ( here and here ) we looked at the performance of a simple 60 day momentum rotation system. In this post, we will loo...
2 comments:
Wednesday, July 6, 2016

Momentum Rotation 60 Day ROC System Metrics

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It's been a while since my last post .  I had planned on writing this particular article about three months ago, but work got in the way...
Monday, April 11, 2016

Momentum Rotation 60 Day ROC System Results

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In my last post, Yahoo Data and Momentum Rotation - Analysis of 2015 Data , the big take away was the importance of performing a full downl...
Monday, April 4, 2016

Yahoo Data and Momentum Rotation - Analysis of 2015 Data

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I've taken a bit of a break from posting options strategy research, but before I dive back in I'm going to revisit some material I p...
1 comment:
Sunday, March 29, 2015

Momentum Rotation Strategies and Data - Part 4

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In the last three posts ( Part 1 , Part 2 , Part 3 ), we looked at how dividend adjusted data and non-dividend adjusted data generate differ...
2 comments:
Wednesday, March 18, 2015

Momentum Rotation Strategies and Data - Part 3

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In this post we will look at the results for a Momentum Rotation strategy that ranks funds based on the sum of two rate-of-change (ROC) valu...
6 comments:
Monday, March 16, 2015

Momentum Rotation Strategies and Data - Part 2

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In Part 1 , I discussed an issue that can occur when using dividend adjusted price data in Momentum Rotation Strategies that select funds ba...
8 comments:
Sunday, March 15, 2015

Momentum Rotation Strategies and Data - Part 1

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I am going to take a short break from reviewing backtest results for different variations of Iron Condors, and revisit Momentum Rotation str...