ATQAP: Indicators - Revision history

Bpopp: /* On Balance Volume */

2021-01-06T03:33:29Z

On Balance Volume

← Older revision		Revision as of 03:33, 6 January 2021
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	* The calculation involves finding both positive and negative directional movement and then calculating the smoothed average of the difference of these		* The calculation involves finding both positive and negative directional movement and then calculating the smoothed average of the difference of these

	== On Balance Volume ==		== On Balance Volume (OBV) ==

	* OBV is a momentum indicator that assumes volume precedes movement and changes in trading volume are an indicator of future asset price moves		* OBV is a momentum indicator that assumes volume precedes movement and changes in trading volume are an indicator of future asset price moves

2021-01-04T06:43:56Z

Strategy 2: Resistance Breakout

← Older revision		Revision as of 06:43, 4 January 2021
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	* Define stop loss: in their case, previous price plus/minus 20 period ATR		* Define stop loss: in their case, previous price plus/minus 20 period ATR
	* Backtest strategy by calculating the cumulative return for each stock		* Backtest strategy by calculating the cumulative return for each stock

			== Strategy 3: Intraday Renko OBV ==

			* Combination of Renko charts and OBV indicator
			* Choose high volume, high activity stocks for this strategy (pre market movers, high volume stocks)
			* Buy signal:
			** Renko bar >= 2
			** 5 day OBV slope greater than 30 degrees
			** Exit if Renko is less than 2
			* Sell Signal:
			** Renko bar <= -2
			** 5 day OBV slope less than -30 degrees
			** Exit if Renko is greater than -2

2021-01-04T06:41:25Z

Stategies

← Older revision		Revision as of 06:41, 4 January 2021
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	= Stategies =		= Stategies =

			== Strategy 1: Simple Rebalance ==

			* Choose a sample of stocks and use this to iteratively develop a portfolio
			* Rebalance the portfolio each month by removing x under-performing stocks and replacing them with top x stocks from the sample
			* Backtest the strategy and compare the KPs with that of a simple buy and hold strategy of corresponding index

			== Strategy 2: Resistance Breakout ==

			* Resistance breakout means that the stock has breached a presumed resistance level (based on historical prices)
			* Choose high volume, high activity stocks for this strategy (pre market movers, high volume stocks)
			* Define breakout rule: in their case, price breaching 20 period rolling max/min price in conjunction volume breaching rolling max volume
			* Define stop loss: in their case, previous price plus/minus 20 period ATR
			* Backtest strategy by calculating the cumulative return for each stock

2021-01-04T06:35:13Z

← Older revision		Revision as of 06:35, 4 January 2021
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	* Calmar Ratio = Compounded Annual Return /		* Calmar Ratio = Compounded Annual Return /
	* Calmer Ratio is the ratio of CAGR and Max drawdown and it's a measure of risk adjusted return		* Calmer Ratio is the ratio of CAGR and Max drawdown and it's a measure of risk adjusted return

			= Stategies =

2021-01-04T06:33:38Z

← Older revision	Revision as of 06:33, 4 January 2021
(No difference)

2020-12-30T05:01:21Z

KPI

← Older revision		Revision as of 05:01, 30 December 2020
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	=== Calmar Ratio ===		=== Calmar Ratio ===
			* Calmar Ratio = Compounded Annual Return /
	* Calmer Ratio is the ratio of CAGR and Max drawdown and it's a measure of risk adjusted return		* Calmer Ratio is the ratio of CAGR and Max drawdown and it's a measure of risk adjusted return

2020-12-30T05:00:50Z

KPI

← Older revision		Revision as of 05:00, 30 December 2020
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	* Sortino ratio is a variation on Sharpe ratio which takes into account the standard deviation of only negative returns		* Sortino ratio is a variation on Sharpe ratio which takes into account the standard deviation of only negative returns
	* One of the criticism of Sharpe ratio is that it fails to distinguish between upside and downside fluctuation. Sortino makes that distinction by only measuring harmful volatility		* One of the criticism of Sharpe ratio is that it fails to distinguish between upside and downside fluctuation. Sortino makes that distinction by only measuring harmful volatility

			=== Maximum Drawdown ===

			* Largest percentage drop in asset price over a specified time period (distance between high and low)
			* Investments with longer backtesting period will likely have larger max drawdown and therefore caution must be applied in comparing across strategies

			=== Calmar Ratio ===
			* Calmer Ratio is the ratio of CAGR and Max drawdown and it's a measure of risk adjusted return

2020-12-28T22:13:50Z

KPI

← Older revision		Revision as of 22:13, 28 December 2020
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	=== Sharpe Ratio ===		=== Sharpe Ratio ===

			* Sharpe Ratio = Expected Return - Risk Free rate of return / Op
	* Sharpe ratio is the average return earned in excess of the risk free rate per unit of volatility		* Sharpe ratio is the average return earned in excess of the risk free rate per unit of volatility
	* Widely used measure of risk adjusted return		* Widely used measure of risk adjusted return

2020-12-28T22:12:09Z

Annualized Volatility

← Older revision		Revision as of 22:12, 28 December 2020
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	* Widely used measure of risk, however assumes normal distribution of returns (which if often not true)		* Widely used measure of risk, however assumes normal distribution of returns (which if often not true)
	* Does not capture tail risk		* Does not capture tail risk

			=== Sharpe Ratio ===

			* Sharpe ratio is the average return earned in excess of the risk free rate per unit of volatility
			* Widely used measure of risk adjusted return
			* Investors pay close attention to this metric when comparing funds
			* Sharpe ratio greater than 1 is considered good, greater than 2 is very good and greater than 3 is excellent

			=== Sortino Ratio ===

			* Sortino ratio is a variation on Sharpe ratio which takes into account the standard deviation of only negative returns
			* One of the criticism of Sharpe ratio is that it fails to distinguish between upside and downside fluctuation. Sortino makes that distinction by only measuring harmful volatility

2020-12-28T21:41:15Z

KPI

← Older revision		Revision as of 21:41, 28 December 2020
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	* Does not reflect investment risk and therefore should always used in conjunction with a volatility measure		* Does not reflect investment risk and therefore should always used in conjunction with a volatility measure

			=== Annualized Volatility ===

			* Volatility of a strategy is represented by the standard deviation of the returns. This captures the variability of returns from the mean return
			* Annualization is achieved by multiplying volatility with square root of the annualization factor
			* Widely used measure of risk, however assumes normal distribution of returns (which if often not true)
			* Does not capture tail risk