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Predicting economic downtrends is hard due to reflexivity. Last December I received an invitation to give a presentation at the M4 conference in New York alongside some heavy names such as N. N. Taleb, Scott Armstrong, and Peter Carr, just to ...

After the close of Friday, June 28, 2019, quant analysis generated an unusually strong bullish signal for the following week. The S&P 500 rose to new all-time highs the following Monday, July 1, 2019 and gained 1.7% on the week. Our ...

The S&P 500 is up more than 20% on a total return basis year-to-date amid record bearishness in social media. There has been an incredible number of bearish posts in social media this year but the S&P 500 is up 20.5% ...

We present the results of a strategy that switches  to leverage ETFs using a simple market timing method for the purpose of improving SPY buy and hold return. The strategy considers SPY, SSO  (2x) and UPRO (3x) ETFs and switches to ...

Momentum in daily returns may be dangerous for the market. After the regime change that followed the 90s bull market, strong momentum has been associated with large corrections and bear markets. Rebounding from dips shows market strength and has been linked ...

There are constant references to 2% position risk rule in social media and even in some websites and books. Most of the references are wrong and out of context.

Traders constantly ask us about the DLPAL version that is more appropriate for their trading. Below are some general guidelines. These are brief descriptions about DLPAL version functionality and use: DLPAL S is for trading strategy developers that follow systematic signals. This ...

Unrealistic expectations in the quant world often lead to disaster. The recent market history after quantitative trading was introduced in the 80s is filled with stories of failures of prominent but also less known funds that had unrealistic expectations.

There are widespread misconceptions about quant trading, even by those who use it in hedge funds. In this article, we expose some of these misconceptions and offer a practical example. A recent article in Bloomberg titled “Computer Models Won’t Beat the ...

Trading edges may appear, disappear forever or even suddenly reappear. It is not easy to determine when an edge has diminished permanently or it is in a dormant state. Statistical analysis with the returns of a successful fund and a ...