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In the last few days there have been hundreds of posts in financial social media with charts that show highest year-over-year increase in commodity prices in 40 years. This increase is an artifact of the commodity crash of 2020. Any ...

Does trend following work on stocks? The answer depends on what we mean by “work.” I apply a trend-following strategy published in 2005 to delisted and current constituents of Russell 3000 index in an attempt to answer the question. Read ...

In the last 77 years the edge of the stock market has been very small but enough to generate a high annualized return. Below are some statistics and a brief discussion as to why funds managers aim for high Sharpe ...

In this article we show how train, test and validation steps are used to develop strategies for SPY ETF with DLPAL S. DLPAL S is used by trading strategy developers who follow systematic signals. The program identifies parameter-less strategies from historical ...

If you decide to divide S&P 500 by M2 money supply, at least show the full chart. Does dividing S&P 500 by M2 money supply make any sense? Probably it makes no sense. In my opinion it’s something like dividing apples by ...

Two basic models for long/short NASDAQ-100 and S&P 500 stocks are described based on features generated by DLPAL LS software. When developing long/short strategies most quants focus on machine learning algos with mostly standard features. Instead, we focus on generating features ...

Broader market performance could be irrelevant for passive investment purposes or even strategic allocations. Since 1992, Dow Jones Industrials Average total return has outperformed the broader market by a wide margin and the same holds since 2010 for S&P 500 ...

Affirming the consequent is a formal logical fallacy committed even by professional hedge fund managers. According to Wikipedia: Affirming the consequent, sometimes called converse error, fallacy of the converse, or confusion of necessity and sufficiency, is a formal fallacy … Converse errors are common in everyday thinking ...

Can equity tactical investing generate alpha without any leverage? The answer is that this is rare phenomenon. As a result, use of leverage is widespread and due to this practice come some extremes cases.

In the era of social media a strategy for the markets is not enough. A meta-strategy to deal with infoxication is absolutely necessary. This is an edited excerpt from this week’s report for the blog subscribers: On top of economic uncertainty there ...