Some interesting ideas ... https://alvarezquanttrading.com/blog/market-timing-with-a-canary-gold-copper-lqd-ief-and-much-more/
Well shit, this is what I've been doing for a couple of years now with different assets, though a slightly larger universe. Nice to know people smarter than me do the same thing.
Quote at the end of the article "amibroker as back testing platform used". That definitely does not qualify as top notch. Also, the strategies are decades old ideas that hardly work today. Lastly, the author did not go into any detail on the stability of performance. It might be that some of those strategies performed well a long time ago but performance most likely broke down over the most recent market cycles. I have tested probably several ten thousand times as many strategies as described in the article and I am assured that those depicted are definitely not close to 1 Sharpe, especially not after taking cost of execution into account. Just saying that running some amateurish backtest and reporting about it does not place one in a top notch decile. And I am not saying that strategy back testing is futile. I myself heavily rely on testing and prototyping ideas. All I am saying is that those claimed performance numbers in the article look highly suspicious and did not really pass my smell test. Edit: I take my confidence from own empirical evidence by having run varied strategies as described above over a universe of world futures of all types (metals, index, grain, livestock...), currencies, and stocks (Nasdaq, Nyse, Australia, Hongkong, Japan, Korea, LSE, and Euronext) dating back as far as 2000. I used varied parameterizations and also different data compressions. Take my claim for what it is, my own empirical evidence. You can believe it or not. Just wanted to share that perhaps some numbers in the article don't quite add up.
I thought the canary was the most interesting idea. Maybe your backtests are different, hard to reproduce their results without code I'm sure. Only thing I can say is that I've used the canary idea to time the market a couple of times in the last two years and it's gone great.
when you're a professional money manager things are different than when your an individual trader with a small account. professionals are driving the titanic through icebergs and individuals are in their little speed boats buzzing around. one thing though professionals have real money real time independently audited track records and individuals don't have to play by the same rules. in fact individuals mostly hide behind fake names and just like to bash the professionals that they actually would like to be like. so i am a professional trader fan any day over listening to some want-a-be beat his chest about what they can do. which is 99% of the people here on et, they are just shitheads who believe they can get ahead somehow by tearing down legitimate professionals who don't hide behind a fake name. i will always be a professional fan, even if that professional is not performing they still have credibility no one else has here on et.
Someone who touts moving average crossovers, which have been debunked as not working anymore, is not a professional. No matter what your feelings or opinions are.
i will take two moving averages you specify and trade any market you specify and beat anyone else trading it. i can do this because i understand the logic and structure of the market, sometimes it's the driver that wins races.
Wow. I can see why you get in fights on here. I asked your opinion of someone who you might know better than me. That is all. As far as professional, I have owned seats on the cme and cbot. Trading and trading alone has been my sole source of income for the last 15 years. If that is not professional, I don't know what is. You know the saying, when you meet one asshole, it is an unlucky day. When everyone you meet is an asshole, it is time to look in the mirror.