Choosing the Optimal Strategy

Posted on January 23, 2014 by

When you backtest systematic, rule-based strategies and your theory finally identifies a proven market inefficiency, you will face an interesting problem: which profitable trading strategy should you choose.  Optimization tools test a number of strategies that are all based on the same premise, but have a wide range of parameter values.  Ideally, many of the resulting strategies will be profitable, which is a nice problem to have, but it must still be addressed before you can trade the strategy.  I struggled with this issue when I began developing systematic strategies, but I eventually had an epiphany: You don't have to choose.

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Posted in Risk Management, Strategy Development, Technical Analysis | Tagged , , , , | 2 Comments

Recession Model Forecast 01-01-2014

Posted on January 16, 2014 by

The following article updates the diffusion index, recession slack index, aggregate recession model, and aggregate peak-trough model through December 2013.

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Posted in Economic Indicators, Fundamental Analysis, Market Timing, Recession Forecasting Model | Tagged , , , , , , , , | Leave a comment

Non-Farm Payroll (NFP) Forecast – December 2013

Posted on January 9, 2014 by

This article presents the Trader Edge aggregate neural network model forecast for the December 2013 non-farm payroll data, which is scheduled to be released tomorrow morning at 8:30 AM EST.

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Posted in Economic Indicators, Fundamental Analysis, Market Timing, NFP Forecasting Model | Leave a comment

2013 AAR Strategy Results

Posted on January 1, 2014 by

The AAR strategy is a conservative, long-only, asset allocation strategy that rotates monthly among five large asset classes: large-cap U.S. stocks, developed country stocks in Europe and Asia, emerging market stocks, U.S. Treasury Notes, and commodities. It is one of the 20 proprietary strategies that I trade in my account and the only strategy that Trader Edge currently offers on a subscription basis.

The AAR strategy earned a return of 26.11% in 2013, outperforming its equal-weighted index (+6.74%) by a remarkable 19.37% during the year.

Remember that the AAR strategy is not an equity strategy. The AAR strategy is based on the Ivy League portfolio framework and every month it has the option of investing in any one of the five diverse investment candidates described above. If none of the five candidates pass their respective trade filters, the AAR strategy remains in cash for the month.   Stop-loss orders are used on every trade to control losses and to facilitate position sizing.

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Posted in Asset Allocation Rotational (AAR) Strategy, Market Timing, Technical Analysis | Tagged , , , , , , | 1 Comment

12-31-2013 AAR Strategy Update Posted

Posted on January 1, 2014 by

The December 31, 2013 AAR Strategy update is now available on the AAR Subscribers page.  If you are not currently a subscriber and would like to learn more about the strategy, there is a detailed description on the AAR Strategy page.

The AAR strategy is a conservative, long-only, asset allocation strategy that rotates monthly among five large asset classes: large-cap U.S. stocks, developed country stocks in Europe and Asia, emerging market stocks, U.S. Treasury Notes, and commodities.

If none of the five candidates pass their respective trade filters, the AAR strategy remains in cash for the month.   Stop-loss orders are used on every trade to control losses and to facilitate position sizing.

Brian Johnson

Copyright 2014 - Trading Insights, LLC - All Rights Reserved.

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Seasons Greetings from Trader Edge

Posted on December 19, 2013 by

A blog is a surprising amount of work, but the resulting incentive to investigate new research topics and strategies has proved to be invaluable.  Even after 30+ years as an investment professional, I continue to learn more about trading and the markets every day; much of that can be attributed to exchanging ideas with many of you.

I hope you have found some of the Trader Edge articles to be useful in your trading this year.  If so, I would love to hear from you.  Constructive feedback and suggestions are always appreciated as well.

I look forward to exploring new tools, concepts, and insights with you when posts resume in January. Best wishes for a happy 2013 holiday season and for a prosperous 2014.

Brian Johnson

Copyright 2012 - Trading Insights, LLC - All Rights Reserved.

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Recession Model Forecast 12-01-2013

Posted on December 12, 2013 by

The following article updates the diffusion index, recession slack index, aggregate recession model, and aggregate peak-trough model through November 2013.

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Posted in Economic Indicators, Fundamental Analysis, Market Commentary, Market Timing, Recession Forecasting Model | Tagged , , , , , , , , | Leave a comment

Non-Farm Payroll (NFP) Forecast – November 2013

Posted on December 5, 2013 by

This article presents the Trader Edge aggregate neural network model forecast for the November 2013 non-farm payroll data, which is scheduled to be released tomorrow morning at 8:30 AM EST.

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Posted in Economic Indicators, Fundamental Analysis, Market Timing, NFP Forecasting Model | Tagged , , , , , , | Leave a comment