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We have received complaints from blog readers about backtests in some websites with inflated returns that indicate deliberate choice of starting date for analysis. This is a common source of data snooping bias in the trading literature. Data snooping occurs when ...

This article includes an example of development and execution of a basic strategy for trading ES futures in the daily timeframe using features generated by DLPAL LS software. DLPAL LS software offers an alternative way of developing trading strategies based on ...

We estimate the survivorship bias in backtesting a simple but popular trading strategy for trend-following large cap stocks. We compare the results with survivorship bias to those that account for desisted stocks. Read the article with a Trend-Following subscription. 

Price is not King, return is. Stock market all-time highs and bull market strength should not be conflated. The charts below show why. Although the S&P 500 made new-all time highs yesterday, this is not the most dynamic bull market in ...

Determining if a trading strategy is over-fitted can be a challenging task in some cases. In this article we offer an example of a strategy and a practitioner’s approach to determining whether it is over-fitted. Over-fitted strategies are not hard to ...

Bear markets have posed so far no major risks to equity market timing because most models, even the simple ones, have successfully avoided them. But there is a significant source of risk for equity market timing that is rarely discussed. ...

We look at the performance of popular momentum and trend-following strategies in SPY ETF since inception in an effort to identify a winner. Read the article with a Trend-Following subscription. 

We are pleased to announce the release of DLPAL LS v5.0. This new version offers additional capability for updating historical feature files directly from a workspace. DLPAL LS software calculates features that measure the probability and significance of directional bias of ...

Mainstream media is infatuated with “textbook patterns”. Another one of those was presented yesterday as an ominous sign. But “textbook patterns” are like broken clocks. In January of 2017, a technical analyst appeared on financial TV and declared the end of ...

In this brief article we answer the following question: Is price action in commodities markets more closely linked nowadays to price action in the stock market due to financialization? The financialization argument is about increased trading activity in commodities linked to ...