Cesar Alvarez spent nine years as a professional market researcher for Connors Research and TradingMarkets.com. He has been at the forefront of stock market research, having developed a number of successful trading systems now used by numerous investors and fund managers in the United States and internationally. He has given trading presentations both over the web and in person to hundreds of traders.
Cesar was also a Software Engineer on Excel versions 3, 4, and 5, helping Microsoft Excel go from single digit market share to owning the market.
Cesar attended the University of California, Berkeley where he received his Bachelors of Science in Electrical Engineering and Computer Science in 1989 and his Masters of Science in Computer Science in 1990.
Topics discussed
- Where to find trading ideas
- Why you should test all of your ideas, even if you think they won’t work
- Pitfalls of backtesting you need to look out for
- How to identify coding errors in backtesting
- Some clues that indicate you may have over-optimised a strategy
- Issues with splitting data into in-sample and out-of-sample portions
- The impact of stops on returns
- Handling a 50% overnight drop in a stock price
- Finding your personal drawdown tolerance
- How market timing can impact a strategy
- Why you need multiple strategies in a portfolio
Resources mentioned in this episode
- To learn more about Cesar and his work, checkout his website at alvarezquanttrading.com
- You can catch him on Twitter @AlvarezQuant
- Cesar uses Amibroker software for backtesting – a free trial is available here
- Recommended websites:
- Yahoo AmiBroker user group
- Quantocracy.com (formerly thewholestreet.com)
- Recommended Books:
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NOTE: You can get “Predictable Irrational” as a FREE audiobook here
- Cesar was the primary researcher and co-author of these fine books:
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Plus twelve guidebooks published by TradingMarkets.com
Learn to program you own strategies
- Would you like to able test your trading ideas to separate the good from the bad?
- Would you like to get trading signals from your new strategies?
- Would you like to learn from a person who has been programming computers for 30 years and programming 13 years in AmiBroker?
- End your frustration of not knowing where to start using AmiBroker.
Cesar has been programming and back testing ideas in AmiBroker since 2001. For 9 years, he was the Director of Research for Connors Research where he created hundreds of trading strategies. He has taught AmiBroker at weekend trading seminars. Cesar will teach you the basics of programming and then walk you through the creation and testing a strategy.
Check out the Amibroker & Backtesting course Cesar is offering to Better System Trader readers
Solve your Amibroker problems
- Do you have a trading idea that you want to confirm works? It is cheaper to test it than it is to trade it and lose money.
- Want to have signals generated and an Interactive Brokers basket file created?
- Do you use AmiBroker and Excel and want automation between them?
Cesar can handle your AmiBroker coding needs, see here for assistance with your coding projects.
Quotes
Top 5 tips from my chat today
- Why you should test all of your ideas, even if you think they won’t work – “sometimes there is not rhyme or reason why something works or doesn’t”, you just have to test it
- Tips on identifying over-optimisation – if a strategy works well with one set of values but falls off a cliff if the values are changed the system may not be robust
- Splitting data into in-sample and out-of-sample portions can make it difficult to test strategies over various market conditions, however if you test with data from the past 10 years you will experience bull and bear markets along with high and low volatility environments
- Market timing – some strategies work better if you exclude them from certain market conditions so it can help to identify that and include a filter to switch a strategy off when conditions aren’t ideal
- The impact of stops on returns – stops are insurance and insurance costs money, mean reversion strategies can produce higher returns without stops.
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