Cesar Alvarez

Systematic stock trader, researcher and strategy consultant. AmiBroker expert.

[Cesar Alvarez @AlvarezQuant]

Since 1970, the avg weekly return is +.16% with 56% of them up. The avg for Thanksgiving week is +.58% with 69% up. When above the MA200 avg p/l is +.63% with 76% up. When below the MA200 avg p/l is .47% with 58% up

[Cesar Alvarez @AlvarezQuant]

A slow decline in the avg %p/l of mean reversion trades. Read https://t.co/TBfsDGmksM

[Cesar Alvarez @AlvarezQuant]

Here are the avg %p/l of mean reversion trades above the 200-day moving average. A slow decline in the https://t.co/c8C2Zs3Rry https://t.co/TBfsDGmksM

[Cesar Alvarez @AlvarezQuant]

Got to wondering, do 3% up days happen more often before or after bear market bottoms.

[Cesar Alvarez @AlvarezQuant]

After yesterday's 2.1% decline in the S&P500 index, I wanted to know the typical number of times this happens per year. For this year, the count is 18 so far. If this rate continues for the rest of the year, the count will be 24.

[Cesar Alvarez @AlvarezQuant]

I test an ETF rotation strategy on SPY, EFA, IEF, GLD, ICF using ranking method using 1 month return, 3 month return and 20 day historical volatility. Read https://t.co/ShJNYKNHue

[Cesar Alvarez @AlvarezQuant]

I test a ranking method -using 1 month return, 3 month return and 20 day historical volatility- for an ETF rotation strategy on XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, XLY. Read https://t.co/ShJNYKNHue

[Cesar Alvarez @AlvarezQuant]

Surprisingly filtering out stocks with historical volatility greater than their median improved drawdowns. https://t.co/HCHnS5HGjY

[Cesar Alvarez @AlvarezQuant]

Using historical volatility to filter out trades reduces drawdown by 25%. https://t.co/HCHnS5HGjY

[Cesar Alvarez @AlvarezQuant]

From @priceactionlab, "Losing discipline and not following basic rules is more prevalent during a bear market and a slow “pain trade”." So true

[Cesar Alvarez @AlvarezQuant]

For a mean reversion trade, is better to for further intraday weakness or wait for the resumption of the trend? Wait for further weakness. Returns are 100% better and MDD is the same. Read https://t.co/t3xKwSmRS1

[Cesar Alvarez @AlvarezQuant]

For a mean reversion trade, is better to just get in at the open or wait for the resumption of the trend? Just jump in. Returns are 50% better and MDD is a 10% worse. Read https://t.co/t3xKwSmRS1

[Cesar Alvarez @AlvarezQuant]

Riding the curve

[Cesar Alvarez @AlvarezQuant]

I know I have gone from the top of the curve to the bottom in the last 5 months. How about you? Read more https://t.co/MkwkxeI4Pa

[Cesar Alvarez @AlvarezQuant]

A simple quarterly momentum rotation strategy using Gold and SPX. Read https://t.co/PxKTNaZ9FQ

[Cesar Alvarez @AlvarezQuant]

A portfolio of 50% Gold and 50% SPX and rebalancing monthly. Read https://t.co/PxKTNaZ9FQ

[Cesar Alvarez @AlvarezQuant]

Using Gold and SPX, a monthly momentum strategy. Read https://t.co/PxKTNaZ9FQ

[Cesar Alvarez @AlvarezQuant]

I try using Benford’s Law to help with the selection of a specific variation from an optimization run. It shows promise at first but then with more investigation does not. Read https://t.co/u1ZxPrDGpU

[Cesar Alvarez @AlvarezQuant]

Do S&P500 stocks follow Benford’s Law? For the most, the answer is not even close. Read https://t.co/u1ZxPrDGpU

[Cesar Alvarez @AlvarezQuant]

Do the daily returns of the S&P500 Index follow Benford’s Law? They closely do. Read more https://t.co/u1ZxPrDGpU