novacane32000
331 posts
msg #156752
- Ignore novacane32000 |
5/8/2021 7:57:22 AM
Has anyone checked out Quantpedia? Seems like a wealth of data to play around with. Tempted to get the premium package, any thoughts on this?
https://quantpedia.com/screener/page/2/?screener_tab=screener-classic&FilterPeriod=All&FilterMarkets=equities&FilterInstruments=All&FilterKeywords=All&FilterPerformance=All&FilterVolatility=All&FilterHedgeToEquitis=All&FilterTitle&FilterQuantConnect=All&FilterPeriodicUpdates=All&FilterConfidence=All&FilterDrawdown=All&FilterSharpe=All&FilterComplexity=All&FilterBacktest=All&FilterBacktestLength=All&FilterNbrInstruments=All&FilterPremium=All&FilterOtherPapers=All&FilterRegion=All&View&Column&Direction
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Cheese
1,374 posts
msg #156762
- Ignore Cheese |
5/8/2021 12:39:43 PM
Thank you, novacane32000.
I found this posting quite interesting:
Market Sentiment and an Overnight Anomaly
19.April 2021
https://quantpedia.com/market-sentiment-and-an-overnight-anomaly/
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novacane32000
331 posts
msg #156765
- Ignore novacane32000 |
5/9/2021 9:56:00 AM
I actually have an excel sheet where I track daily SPY moves and thru 4/27/21 YTD here are some stats minus the social sentiment factor
Holding SPY just overnight (Buy at close sell at Open)
Wins 43
Loss 36
Avr Win .44%
Avr Loss -.34%
Best win 1.38%
Worst Loss -.93%
Hold SPY during Trading hours( Buy 9:30 EST sell 16:00 EST)
Wins 48
Loss 31
Avr Win .52%
Avr Loss- .64%
Best Win 1.40 %
Worst Loss -2.06%
Overnight Trades edge out Trading hours trades with an avr win /Trade of .08% vs .06%
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Cheese
1,374 posts
msg #156766
- Ignore Cheese |
5/9/2021 12:24:10 PM
@ novacane32000.
Thank you very much for sharing your research and insights.
On that quant site, there is also an article about Risk Parity Asset Allocation
https://quantpedia.com/risk-parity-asset-allocation/
7 May 2021
I am trying to learn how to reduce risk without sacrificing too much return,
Would you happen to have any insights, thoughts and simple easy approach
for beginners to practice and implement?
The only good idea I've got so far is trade small, risk small.
Thanks again.
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