Nice, I have a question ,what is the basket of stocks are you using for backtest, it is the whole US stock market (excluding OTCs ) ? Or it's just S&P ? And if it's S&P I suppose it doesn't have survivorship bias
Again, great effort Niv. What I find most difficult in trading EPs is position sizing with the high volatility in the first hour. Did you test different entry points and stop loss percentages?
I tested different stop losses yes - many things works. I tested different entries on an intraday level a long time ago but I'm currently not going into that rabbit hole as buying the open seems to be enough. Will be smarter after some live testing.
can you share the sharpe ratio of the strategies, and of the combined? they must be quite uncorrelated so i assume the Sharpe of the combined is much improved
Rate of Change % for the past 30 days. I didn't give the exact number where EV decays to keep some edge to myself ;) But if you recreate it I'm sure you can find the optimized number
Hi Niv, great post as usual ! Correct me if I am wrong but isn't the max DD on the EP backtest 30% ? Atleast thats what I see from the image but I might be wrong. Thanks for the post as always, great, simple to digest info !
Awesome analysis, thanks for sharing! Did you simulate buying on news as well? If so, how did you handle that? Or were the entries on the day of earnings reports (next day if it happened after close) only?
Nice, I have a question ,what is the basket of stocks are you using for backtest, it is the whole US stock market (excluding OTCs ) ? Or it's just S&P ? And if it's S&P I suppose it doesn't have survivorship bias
It's the whole US stock market (excluding OTCs ), delisted + listed stocks from 2007.
Thanks Niv and one more question, how is the size allocated per trade, it is equally devided on how many setups are on each specific day ?
The risk is 0.5% of the account per trade.
There was no limit to how many signals it can take per day - only limit is portfolio size up to 1.5x leverage.
Again, great effort Niv. What I find most difficult in trading EPs is position sizing with the high volatility in the first hour. Did you test different entry points and stop loss percentages?
I tested different stop losses yes - many things works. I tested different entries on an intraday level a long time ago but I'm currently not going into that rabbit hole as buying the open seems to be enough. Will be smarter after some live testing.
can you share the sharpe ratio of the strategies, and of the combined? they must be quite uncorrelated so i assume the Sharpe of the combined is much improved
Great write up! Can you confirm if ROC is rate of change? So rate of change of 30% usually less EV?
Rate of Change % for the past 30 days. I didn't give the exact number where EV decays to keep some edge to myself ;) But if you recreate it I'm sure you can find the optimized number
Maybe whisper to me? Lol
Hi Niv, great post as usual ! Correct me if I am wrong but isn't the max DD on the EP backtest 30% ? Atleast thats what I see from the image but I might be wrong. Thanks for the post as always, great, simple to digest info !
Absolutely, I copied it from momentum breakout and forgot to change the max DD %. Thanks for letting me know it's fixed now
Awesome analysis, thanks for sharing! Did you simulate buying on news as well? If so, how did you handle that? Or were the entries on the day of earnings reports (next day if it happened after close) only?
Only earnings no news
How is the the entry and stop loss determined? Opening range high?
just ATR mult from open
Hi very good article. Do. Ok get the historical earnings data from FMP also for delisted stocks?