#MAX DRAWDOWN GEEKFORGEEK SERIES#

Momentum strategy keeps the same positions with only slight change in risk allocation. I guess, FED won’t stop hiking rates, because the inflation is much bigger problem than banking issue, so there could be more banks facing issues as rates continue its hikes.

SOE such as telecom companies that offers computing powers and operating capabilities have enjoyed the hike.įrom global market, the banking problem is still going on, as now CS/UBS have issues, and the way that European governments fixes banks problem has scared the credit markets (by wiping off AT1 debt that CS owes to debtors). Sectors that attract market attention are: ChatGPT, AI related, and the digital economy initiative that the government is promoting. Consumptions and technologies have been weak for prolonged period. SOE stock continues to perform strongly in the past week, and only in the most recent couple of days, it’s trading lower for a bit. HS300 has been trading flat (and edging down) for nearly 2 months, since 30 Jan, the first trading day after the Lunar New Year. Posted on MaMaCategories Uncategorized Leave a comment on Multitimeframe Strategies 20230322: Flat Index and Hiking SOE | fl | feiliu, when trend stops being bear. | pa | exit long when pricebaseline, baseline is up, and histo>0, The high dimension timeframe is Daily Bar the intermediate dimension timeframe is Hourly Bar.

#MAX DRAWDOWN GEEKFORGEEK SERIES#

It seems that the citizen here does not deserve the 'helicopter money' so then maybe they’d figure out other way of saving the economy after crediting pumping fails.Įxtending the idea from Elder on triple screen, I’m designing and testing a series of models which work in the same analogy but with widened filters and indicators. Giving coupons to the poor might ease their burden of living but coupon won’t create cash circulating the economy, but reduces such circulation. They are missing the point that the general public has no money to spend on consumptions after the 3 years of pandemic disaster, so the created credit won’t help anything for them. The economy is still weak, after government pumping credit in Jan and Feb. Maybe they could survive this round of consolidation. Over the past week, the hikes of this small allocation managed to pair up the loss from SEO. The momentum portfolio has small allocation on Hundsun Tech (600570) and Hithink RoyalFlush Info Network (300033), who are related to AI and brokerages. Minor risk is at growth stocks, as they are picking up momentum due to the fact that:Ī) the growth stocks are over sold and at historical lows from valuation perspective,ī) the policies seems to re-open for innovations as Jack Ma returns to China and appearing from official media. Main risk is still heavily on SEO, which enjoyed huge hikes in past months, but in recent week, they are losing momentum (not at level of cutting their risk allocation yet). In the past week, the portfolio cut the only consumption stock (605499). Risk allocation is decreased to 68%, with cash allocation 32%. Index is almost flat from week-week basis, (3999.44 on 22Mar vs 4007.42 29Mar). Test 4: Hourly Event: Hourly Bar Price Series and SMA Posted on MaCategories Uncategorized 1 Comment on Regression On MyQuant Bars And Events Backtest Some MACD Ideas Test 3: Hourly Event: Daily Bar Price Series and SMA The reconciliation between a) and b) compares: the close price for each day the SMA(10) calculated between the two, for each trading day in 2017. My expectation is that the price series between a) and b) should tally with each other.įor b), hourly bars collected for resample is for only day session between, and purposely ignore the night session bars, given the fact that all Chinese markets close at 15:00, which is the price in my interest. Test 2: Daily Event: Hourly Bar Price Series and SMA Test 1: Daily Event: Daily Bar Price Series and SMA Recently, I’ve got hit a strange issue on MyQuant, where the same model would give different backtest results when using: a) daily bars for close price series, b) hourly bars to resample for close price series.Ī) Load hourly bars and resample into histd.ī) Load daily bars from myquant source into histd.įor each of the test scenario below, we will load a)

Max drawdown geekforgeek