Alvarez Quant Trading Blog
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I'm Cesar Alvarez. I have been trading since 1996 mostly stocks and ETFs. I trade multiple quantitative strategeis both on the long and short side. Since the start of this blog in 2013, I have been sharing my research thoughts with other traders. I also help traders test out their trading ideas through my consulting services.
Alvarez Quant Trading Blog
1M ago
Recently a reader sent me a leveraged ETF strategy that he wanted tested for the blog. Over the last couple of months, I have been noticing renewed interest in leveraged ETF trading. More clients are coming to me to test out leverage trading ideas. I have been testing my own ideas. What I liked about ..read more
Alvarez Quant Trading Blog
3M ago
Something I am always thinking about is how the markets are behaving now vs the past few years vs several years ago. My edge on the strategies I trade depends on two main ideas. One, current market behavior is similar to what I tested on which is normally the last 5-10 years. Two, not too ..read more
Alvarez Quant Trading Blog
4M ago
This end of year rally which started on October 2023 has been strong. My trading buddy and I started wondering how this compares to the past. Is this a “normal” strong rally or an “abnormally” strong one? Determining this is always tough because it depends on the indicators you use. Because of that, I tried ..read more
Alvarez Quant Trading Blog
6M ago
I was doing my usual reading when I came across a sector rotation strategy. I have seen lots of these strategies but this one had a different twist. The strategy was a momentum strategy but instead of buying the top three, it was buying the middle three. The article gave no reason other than it ..read more
Alvarez Quant Trading Blog
7M ago
I was working on testing a market timing indicator that I read about it. It was showing some promise and the next step was to compare it to my benchmark. My benchmark is using the 200-day moving average. But an additional rule removes a lot of the whipsaws that can happen. After doing the comparison ..read more
Alvarez Quant Trading Blog
8M ago
My recent research has been on the volatility Exchange Traded Products. My focus has been on long trades using VXX and XIV. Although VXX has a very strong downtrend, I am not a fan of developing short strategies on it due to the huge upside risk. I wrote about XIV here and expressed some of ..read more
Alvarez Quant Trading Blog
1y ago
From the Volume and Mean Reversion post, a reader sent a suggestion to instead use the ratio of 10 day moving average of the Close times Volume divided by the 63-day moving average of the Close times Volume (CV10/63). I had not tried this before and wanted to see how well it would work. First ..read more
Alvarez Quant Trading Blog
1y ago
Overall, I have had very little success integrating volume into any of my strategies. Either volume would have no predictive value or if it did, using it reduced the number of trades too much to be worthwhile. It has been a long while since I have looked into this and I had some new ideas ..read more
Alvarez Quant Trading Blog
1y ago
A common question I get is whether mean reversion is still working. My response is I am still trading a mean reversion strategy but the edges seem to get smaller. Over the year I have investigated this. I was asked again recently and wanted to investigate again. Here are the results of my 2022 investigation ..read more
Alvarez Quant Trading Blog
1y ago
I am drawn to ETF rotation strategies. What likely draws me to them is that in general, these are simple strategies that do not trade that often. My goal with these strategies is to match buy and hold with less drawdown. What follows is a strategy I have known about for a while and tested ..read more