Amazon AMZN Signals Daily

Amazon (AMZN) Signals-Daily

These Amazon.com, Inc. (AMZN) signals traded as directed would have performed around 3.6 times better than buy-hold with an ROI of 391% for the period 02-Nov-16 to 07-Dec-18. This is a symmetrical algorithm with no buy or sell bias.

AMZN Daily Signals

"The trading signals for Amazon.com, Inc. (AMZN) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the Amazon.com, Inc. (AMZN) signals

For the 528 day (2.1 year) period from Nov 2 2016 to Dec 7 2018, these signals for Amazon.com, Inc. (AMZN) traded both long and short would have yielded $39,084 in profits from a $10,000 initial investment, an annualized return of 113.5%. Traded long only (no short selling) the signals would have returned $23,562, an annualized return of 78.1%. 47.8% of time was spent holding stock long. The return would have been $10,782 (an annualized return of 41.7%) if you had bought and held the stock for the same period.

Signals and Trades

We call this a daily strategy as daily OHLC data is used in the numerical analysis leading to at most one buy signal and one sell signal per day. However, not all signals result in trades. If you are already long in a security, buy signals are not acted upon, similarly if you are short you should ignore sell signals. There were 259 buy signals and 290 sell signals for this particular AMZN strategy which in turn led to 128 round trip long trades of which 81 were profitable, and 128 short trades of which 64 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 13% for long-short and 8% for long only. This compares to 29% for buy-hold. The reward/risk for the trading long and short was 6.31 compared to 1.21 for buy-hold, a factor of 5.2 improvement. If traded long only, the reward/risk was 5.91. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The algorithm uses Bollinger bands with an SD (Excel STDEVPA) of the trailing 50 (H+L)/2 prices, scaled by a factor of 10.

The backtests assume a commission per trade of $7. "

AMZN Equity

AMZN (Amazon) Signals – Monthly

From Jul 2008 to Aug 2018, these trading signals for Amazon (AMZN) used as directed would have performed around 744 times better than buy-hold.

AMZN Signals Monthly

For the 255 month (21.2 year) period from May 1 1997 to Jul 31 2018, these signals for Amazon.com, Inc. (AMZN) traded long and short would have yielded $5,434,919,985 in profits from a $10,000 initial investment, an annualized return of 86.6%. The long-side profit (buy/sell only, no shorts) for the signals was $462,171,488, an annualized return of 66.1%. If you had bought and held the stock for the same period the profit would have been $7,308,974 (an annualized return of 36.6%). The trading style was Long & Short, meaning that you would be long or short the security at all times.

For this type of strategy, not every signal is acted upon and signals are often reinforced. If you are long in the security, buy signals can be ignored, for example. Similarly if you are short you can ignore sell signals. For this particular AMZN strategy there were 150 buy signals and 53 sell signals.These led to 34 long trades of which 22 were profitable, and 33 short trades of which 22 were profitable.

This is a monthly strategy; monthly OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per month. Drawdown (the worst case loss for an single entry and exit into the strategy) was 46% vs. 93% for buy-hold. Using drawdown plus 5% as our risk metric, and annualized return as the reward metric, the reward/risk for the strategy was 1.70 vs. 0.37 for buy-hold, an improvement factor of around 4.6

AMZN Signals Weekly Equity

AMZN (Amazon) Signals – Weekly

AMZN Signals (Weekly)

AMZN Signals (Weekly)

For the 528 week (10.1 year) period from Jul 7 2008 to Aug 17 2018, these trading signals for Amazon.com, Inc. (AMZN) would have yielded $1,951,107 in profits from a $10,000 initial investment, an annualized return of 68.6%. If you had bought and held the stock for the same period the profit would have been $251,237 (an annualized return of 38.1%).

The trading style was Long & Short, meaning that you would be long or short the security at all times. For this type of strategy, not every signal is acted upon and signals are often reinforced. If you are long in the security, buy signals can be ignored, for example. Similarly if you are short you can ignore sell signals. For this particular AMZN strategy there were 198 buy signals and 55 sell signals.These led to 42 long trades of which 34 were good, and 41 short trades of which 21 were good.

This is a weekly strategy, which means that weekly OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per week. Drawdown (the worst case loss for an single entry and exit into the strategy) was 29% vs. 55% for buy-hold. Using drawdown plus 5% as our risk metric, and annualized return as the reward metric, the reward/risk for the strategy was 2.01 vs. 0.64 for buy-hold, an improvement factor of around 3.2

AMZN 20,000,000% total return

Over 500 times better return than buy-hold

In the time frame May 16th 1997 to Aug 1st 2016, this strategy gave a return of 88.9% compounded which amounts to over $219,000 for every dollar invested, that's 518 times better than the performance of buy-hold which only gave $423.

This screenshot shows the strategy description and performance along with messages warning if something looks odd about the data. The data was checked and all the price jumps turn out to be real with the prices agreeing with prices from other sources.

amzn-m-table

The strategy used Long and Short investment style, so was always in the market long or short. The short side trades didn't do nearly as well as the long side trades, but well enough to boost the overall performance by a factor of almost 10. Also, the short trades had an efficiency of 69%, so for the short time that the strategy was short it did quite well.

Trading was at most once per month, trading a total of 67 round trips over the lifetime. 43 of these trades were good

This is a straightforward type of Percentage Band algorithm. Buy signals occurred in months when the stock price failed to rise, at any time, 5.6%  above the high of the previous month. This happened 143 times out of the 243 months of data. The buy was at the following month's open, but it only happened 34 times because the position was already long in most cases.

Sell signals occurred whenever the stock price fell 5.56% below the previous month's low at any time in the month. Usually, there was a buy signal the same month as a sell signal; there were 92 buy signal only months, 3 sell signal only months and 53 dual signal months. For this type of algorithm, if you are long you have to sell if a sell signal occurs, and you have to buy if a buy signal occurs when you are short. This is all explained in this video.

Here is the equity curve for the strategy, along with the signals and positions mapped out.

amzn-m-equity-curve

It looks as though the equity curve is still rising rapidly, however a closer look at the returns over different time periods (below) shows that most of the strategy gains occurred in the 1997 to 2002 time period. In fact, in the most recent quartus  (one fourth of the data, 2011 -16) the strategy did not quite keep up with buy/hold (31% vs 35.6% annualized).

amzn-m-longevity-scan

amzn-m-longevity

Looking at how changes in the parameters affect return, we see a broad area over which the buy parameters worked with a slightly narrower range for the sell parameter.

amzn-m-return-scan

The parameter surface shows a nice large structure, showing that sensitivity to parameter changes was fairly low, but remember most of the gains were focused in the 97-02 timeframe.

amzn-m-return-surface-scan

Drawdown for the strategy was much better than for buy-hold (46% vs 93%) and not overly sensitive to parameter change:

amzn-m-drawdown-scan

You can take a look at the buy-sell points on the trades list. As always, please be aware that there is no guarantee that this strategy will work in the future.

Recent performance

For the most recent 2.9 years, here is the performance table.

amzn-m-recent-table

There are not enough trades to make any firm conclusions about where the optimum parameters are now, but there is evidence to suggest that the buy point has pulled in somewhat. I suggest you download SignalSolver and optimize for different timeframes to get a feel for where the parameters might have moved to.