- Funds Using AI and Machine Learning Had Worse than Random Performance in 2019 January 23, 2020
AI and machine learning funds rose 6.4% in 2019, according to popular gauge. As shown in the article, these funds performed worse than random traders. We list a few possible reasons for these disappointing results. According to Eurekahedge, AI and machine ...
- Process Integrity vs. Strategy Performance January 22, 2020
Process integrity tests are often confused with strategy performance. This confusion has been especially prevalent in quantitative trading strategy design. In this article we discuss the proper steps involved in the process and present an example of strategy development for ...
- Trading Strategy Curve-Fitting Mechanics with Examples January 18, 2020
Highly curve-fitted strategies are common in financial blogosphere. The usual objective of the developers of such strategies is to impress their audience with exceptional performance and gain an advantage over competition. Those not aware of the mechanics of strategy development ...
- Equity Long/Short Performance as Function of Maximum Open Positions January 16, 2020
We analyze the performance of a long/short strategy that trades Dow 30 stocks as a function of maximum open position held. The equity long-short strategy described in this article is based on features generated by DLPAL LS software. The features result from ...
- U.S. Stock Market Regimes and Performance January 13, 2020
Since 1890 there have been three major regimes in U.S. stocks market: uncertainty, reflexivity and central bank. The new central bank regime is young in comparison to the previous two regimes but it is uncertain if it will endure as ...
- The “Puetz Window” January 11, 2020
The rebound in stocks after the March 2009 bottom will be entering its twelfth year soon. Fundamentals and technicals have disappointed bears in forecasting major tops, and some have turned to idiosyncratic methods, including astrology. A new “Puetz window” presents ...
- Most Traders In Social Media Have Only Seen a Bull Market January 9, 2020
Judging from Twitter posts and comments in the last few days it is evident that the overwhelming majority of traders and even market professionals have not experienced a bear market. That if fine. Many comments about the drop in E-mini futures ...
- What is an Extraordinary Return for the Stock Market? January 8, 2020
In an article last October I argued that all-time highs and bull market strength are often conflated but based on 4, 8 and 10-year returns histories, 2019 return was not extraordinary. In this article I answer the following questions: what is ...
- Backtest Billionaires January 5, 2020
It is now 2020 and I still see backtests in financial blogosphere with 30% or even higher annualized returns. There are many backtest billionaires. Before showing to an audience a backtest with 30% annualized return, it is maybe a good idea ...
- Equity Long-Short Performance in 2019 January 3, 2020
Performance of long-short strategies for Dow 30 stocks in daily and weekly timeframe. The strategies are based on features developed by DLPAL LS software. The equity long-short strategies described in this article are based on features generated by DLPAL LS software. The ...
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