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One side of the river is occupied by momentum traders. On the opposite side the strategic allocation crowd is standing. The average depth of the river is four feet.

Year-to date performance of a long-short strategy applied to Dow 30 stock universe is nearly 17% net of commissions for a maximum of 12 open positions at any given time. The strategy is based on feature engineering. The equity long-short strategy ...

Shorting the stock market has been a losing proposition especially in the daily timeframe. The proof lies in market statistics and the effect is demonstrated with simulations and backtests.

There are so many resources online about machine learning that almost anyone with knowledge of basic math and copy paste capability can write a book on the subject.  But in finance results matter only. There are ways of putting ideas ...

DLPAL S was used to design a strategy for 10-Year Note futures with in-sample of eight years and out-of-sample of 12 years. DLPAL S setup We use daily backward adjusted data for open outcry TY futures from 08/26/1999 to 12/31/2007 as the ...

Alternative data is a new buzzword in the finance world. But is there any alpha in alternative data? The answer is no and here is why. While alternative data can be very useful to banks, for example, for assessing credit risk, ...

We provide in this article three examples of how volatility has affected the performance  of trading strategies. Are there any advantages in trading only when volatility is low? It seems that the answer depends on the details, i.e., strategy type, timeframe, ...

Is trend-following and especially managed futures convexity gone forever? We will try in this brief article to answer this question, but first we will offer a simple definition of convex returns without any mathematical obfuscation. There are many reports from managed ...

Update on the performance of a long/short strategy that trades Dow 30 stocks in the daily timeframe. This strategy is for professional traders and funds with sufficient capital and low execution cost. The long/short equity strategy is based on features developed ...

When trend-following models break down, trend followers can only blame their skill and ability. On the other hand, when prices fall hard, buy and holders blame the markets. These facts provide some indication about the future course of the stock ...