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Investors should thank the Federal Reserve for twenty years of successful financial engineering. Someone posted in Twitter S&P 500 total returns by decade and claimed that this decade was not out of the ordinary with about 256% gain as compared to ...

In this article we review 2019 performance results for 12 trend-following and mean reversion strategies applied to SPY. Eight trend-following strategies are listed below. Rules Timeframe Name Long: SMA(50) > SMA(200) Exit: SMA(50) < SMA(200) Daily 50D200L Long : SMA(50) > SMA(200) Short: SMA(50) < SMA(200) Daily 50D200LS Long: C > SMA(200) Exit:  C < SMA(200) Dally 1D200L Long: ...

Financial blogosphere and media are crowded with people who have not traded through a major bear market but still think they know everything about the markets. Being humble is a virtue. Financial blogosphere and media are crowded with neophytes that started ...

This year investors and traders had to constantly listen to conflicting views about the market with scores of fundamental analysts predicting a crash while markets were advancing. There are solutions for avoiding cognitive dissonance. The arguments of fundamental analysts were logical ...

Stock market strength is the highest in at least the last 26 years and the charts below show why. The daily SPY chart since inception of the ETF includes an indicator at the bottom that is the count of up gaps ...

The PSI5 mean-reversion strategy has outperformed on rick-adjusted basis the buy and hold total return performance of SPY since inception. The PSI5 mean-reversion strategy is not data-mined but based on a formula from a text in probability theory. The logic of ...

Traders in social media posts have recently claimed that volume has lost its significance and is becoming irrelevant as a technical indicator. Some of these claims may be valid for some markets and strategies but not in general. In algo-dominated markets ...

We remove data-mining bias, increase samples and compare the performance of momentum and trend-following. Read the article with a Trend-Following subscription. 

Survivorship bias increases as a function of the number of constituents in an index and length of backtest. Backtests of momentum rotational trading strategies using indexes with hundreds or thousands of stocks may generate misleading results even if they account ...

The strategy trades four futures contracts in short-term mean-reversion mode based on a formula from a probability theory textbook. The strategy trades long-only ES (E-mini S&P 500), ZN (10-Year U.S. T-Note), FESX (EURO STOXX 50) and FGBL (Euro-Bund) futures contracts using ...