Explanation of LargeCapTrader Core Strategy

This post will serve as a general explanation of the core strategy and the explanation behind it. In essence this is a mean-reversion strategy executed on daily bars utilizing a statistical measurement of static volatility. It was tested on daily data for the past 10 years on the components of multiple indices. The result is a steady and smooth equity curve.

Realistic?

  • $0.02 per share was utilized as a commission rate.
  • All orders were executed via a limit order and were calculated based on results of PREVIOUS days value.
  • As the name suggests the stocks utilized for testing were highly liquid so it is assumed that no slippage occurs.
  • The 10 years of data include 3 disparate market “regimes”. The tech bubble from 1999-2001, the bear market 2001-2004, the low volatility bull market 2004-2007, and the latest high volatility bear market 2008-YTD
  • The strategy was tested on all major indices including S&P 100, S&P 500, Dow Jones, and Nasdaq 100.
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~ by largecaptrader on June 16, 2009.

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