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By exiting trades at the close that triggers a signal instead of the open of the next day, the annualized return of the MR5 mean-reversion strategy increases by 300 basis points with a simultaneous increase in win rate and decrease ...

Validation of trading strategies is important for minimizing probability of Type-I error, or false discoveries. Below is an example of how to quickly validate strategies developed with DLPAL S on correlated but more importantly, anti-correlated securities. Many trading strategy developers do ...

Since 2006 the compound annualized return of Apple stock is 27.36% with regular trading hours having a negative contribution. This price action anomaly vanished in 2016 but the reasons it worked for nearly 10 years are still not clear. In October ...

DLPAL DQ is a unique product for quantitative discretionary traders. We have just added a new feature for the calculation of next day returns in the results. Below is an example. More information about DLPAL DQ can be found here. Examples can ...

My New Year’s resolution is to stop listening to biased analysts. Here is a brief recap and a recent example of an “ominous indicator.” In 2010 we were told by renowned economists QE will cause hyperinflation In 2013 we were told that ...

Chasing bubbles during the last stages of their formation results in a much lower return to risk ratio as it is shown below with examples from bitcoin and Amazon stock. Venture capitalists understand diminishing returns and usually cash in after an ...

A recent article with a reference to the three-body problem and its relation to predictability is an example of how popular science misconceptions find their way into finance and investments. Note that this article is by no means an ad hominem attack against ...

Everyone has heard of volatility drag and how it negatively impacts compound returns. However, very low volatility can also have a detrimental effect on growth. Below are some examples. Everyone understands that if there is a loss of 50%, then a ...

After you read this you may wonder who actually reads these articles. I suspect not too many because there is no hype here, just hard work. But making the distinction between market journalism and quant analysis is useful in my ...

A typical scan of QQQ ETF constituent stocks for price action anomalies as of the close of Monday, December 18, 2017, yielded three signals that were all profitable next day. The scan generated long signals for two stocks, QVCA and ROST, ...