Experience with Technical Analysis Portfolios?

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Experience with Technical Analysis Portfolios?

posted May 28, 2015

Has anyone ever implemented a series of technical analysis esque portfolios and had any success in terms of

Market Neutral
Alpha
Low volatility

Example strategy includes something along the lines of: Long all stocks with a 14 d rsi of 30, short all stocks with a 14 d rsi of 70.

The advantage of implementing these type of portfolios is able to take advantage of short term fluctuations. Unlike risk-factor type of investing (mom, value, carry, etc) with monthly turnover, these portfolios can be more effective in daily settings. Most risk-factor type strategies often use monthly or quarterly re balancing to capture premia.

Let me know. If no one has conducted similar adventures in these fields, I plan on creating a few simple strategies and sharing the results (So warn me now if it sucks!)

1 response

lets make america great again

Yes, but with currency.
Most indicators lag price action so I think you will find that momentum works better in the short term. Mean reversion tends to work over longer periods.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.