- Using Portfolio Backtests To Reduce Selection Bias in Trading Strategy Development March 5, 2018
Selection bias is a significant component of data-mining bias and if it is not minimized it usually leads to random results. In this article we show how to use portfolio backtests to reduce selection bias when using DLPAL S to ...
- Social Media A Significant Factor In Bull Markets March 4, 2018
Social media facilitates widespread dissemination of information and assists in the market discounting all publicly available information. The result is that the upward drift due to dividends dominates in the longer-term and bear markets can only occur due to a ...
- Classical Technical Analysis Indistinguishable From Astrology February 23, 2018
The bulk of classical technical analysis charting is based on confirmation bias: chartists look for patterns that confirm expectations tied to future economic conditions. But biased analysis is wrong more often than it is right. A recent example is included. There ...
- More Than 40% Of SPY ETF Total Return Since inception Due To Dividend Reinvestment February 22, 2018
About 42% of SPY ETF total return since inception on January 29, 1993, is due to dividend reinvestment. This has important ramifications: (a) Stock market is nowhere near a bubble state, (b) if you do not reinvest dividends, then all ...
- Market Neutral Long/Short Just Needs A Few Stocks That Buck The Trend February 21, 2018
A robust market neutral long/short equity strategy during corrections usually identifies a few stocks that buck the trend. This is an example from yesterday, February, 20, 2018. Yesterday the Dow 30 fell about 1% from the previous close. From the open ...
- Dealing With The Infinite Possibilities Of Price Action February 18, 2018
In articles in blogs and in financial and social media, quants identify patterns in some securities that appear profitable or unprofitable. In many cases these attempts reflect a fight against infinite possibilities and insufficient samples but also show lack of ...
- Three White Soldiers February 15, 2018
The three white soldiers is a candlestick pattern that has formed in SPY ETF and it is classified as a bullish formation. But does this pattern have any predictive power? According to Investopedia: “Three white soldiers is a bullish candlestick pattern that ...
- Derivatives of Derivatives of Derivatives And The Modern Alchemists February 10, 2018
The difference between the old alchemists and the modern financial alchemists is that the actions of the latter group endanger the stability of an already fragile financial system. Options contracts are derivatives instruments. The VIX index futures contracts are derivative instruments ...
- Market Neutral Long/Short Equity Example February 9, 2018
Although the Dow Jones Industrial Average fell 4.1% yesterday, a market neutral long/short strategy investing in the 30 stocks showed a small gain. For times like this, switching from momentum to long/.short strategies may be a prudent move. In a recent ...
- Long/Short Equity Strategies In High Demand February 4, 2018
In this article, we present performance results of a long/short equity trading strategy in weekly timeframe. Article updated on 07/10/2020 Long/short equity strategies involve taking both long and short positions so that a net profit is made while market exposure is minimized. ...
Subscribe and receive a free book
