Free Blog

The more features added or engineered, the higher the chances of a random strategy that passes all validation tests. Some combinations of features will eventually fool even the most intelligent validation algo. Hundreds of features possibly means thousands ways to ...

Year-to-date performance of a long/short strategy for NASDAQ-100 stocks is about 32%. The strategy trades a variable number of securities and maintains a market bias depending on the values of the features used. The features of the strategy are calculated daily ...

Many market analysts but also traders think there is a stock market bubble if judging from messages in social media and articles in blogs. Bubble calls appear to conflate higher prices with higher returns. More importantly, a bubble state is ...

Top 20 Commodity Trading Advisor programs are up 7.3% on the average year-to-date, according to data provided by BarclayHedge. Uncertainty about the convexity of CTA returns is increasing amid rising correlation with stock market returns. The average top 20 CTA annual ...

This article includes an update of the performance of a long-short strategy based on moving averages that adapt to market volatility to identify and follow trends. Long positions are reversed to short and vice versa so the strategy is always in ...

Compressed long-term charts with linear scale can offer the illusion of a vertical bubble market. Those are used frequently by some permabears to scare investors. Below is an example based on recent social media post from a permabear: S&P 500 chart ...

There is widespread use of the t-statistic in practitioner and academic research of strategies used by the hedge fund industry. Using the t-statistic to quantify the significance of strategies is not only fundamentally problematic but also exposes hedge funds to ...

The details of the volatility trading strategy are available to All in One premium content subscribers.

The timing of investing in stocks can make huge difference in annualized returns. Below is an example from Berkshire Hathaway Inc. stock. This article was motivated by a post in social media about an investment in Berkshire Hathaway Inc. Class A ...

Our NASDAQ-100 long/short model generated nine long trades after the close of Wednesday, May 5, 2021. The lack of short traders was curious but as it turned out, the bias was right. For more details about the NASDAQ-100 long/short model based ...