A fabulous landmark: 100,000 pageviews

During todays early hours, the pageview counter quietly turned past the memorable 100,000 figure. Reaching 10,000 pageviews was a big surprise already, so the 100k number is something I never even imagined I would achieve when I started this blog.

Actually, getting here by spending countless hours of free time learning and writing code, running aground, discovering new ways and pushing forward again, wasn't always easy. However, I've had lots of fun and learned so incredibly much along the way. Meeting fantastic people too, truly is a great privilege. Many of them sharing their knowledge, really helping me out and putting me on track again.

100k! For real, I could not have done without you. So thank you for your interest, thank you for your support, thank you for the occasional donation and thank you for sharing.

What now then? Focused on portfolio strategies, there are quite a few idea's floating in my head. Stay tuned and do keep sharing so we all benefit!

Harvesting Momentum: Let's Kick Tires With AmiBroker [ Part II ]

In Part I of this series the frame work for a basic Tactical Asset Allocation strategy was discussed using two ETF's representing stocks (first SPY, later MDY) and bonds (TLT). Following on the daily signals of the first post, the continuation of this series will be all about the higher time frames, starting with weekly signals.

Engaging a strategy based on weekly signals might be the way to go for anybody who does not want to be in synch with the crowd, since everyone and his uncle is doing momentum on monthly basis these days. And as it happens, the AFL-code provided in the previous post is just as suitable for weekend traders too.

Weekly Periodicity

As a starting point, the weekly equivalent of 85 days for the momentum calculation is used: 17 weeks without any smoothing.

Portfolio Equity SPY - TLT (17 weeks), draw down periods in red
Profit table SPY - TLT (17 weeks)
SPY-TLT (17w)    2004 - 2013
Total Profit   211     %
CAR   12.05%
MDD (trades)   -16.16%
MDD (system)   -16.16%
Calmar (0%)   0.75
Sharpe (0%)   0.76
Trades   43     
Winners   58.14     %