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Changes in Relative Strength Index (RSI) have low correlation with changes in price for timeframes longer than two days. This relationship is highly robust for four major ETFs. The conclusion is that only very short-term traders should look at the ...

In this article we include R code for applying binary logistic regression classification to attribute data generated by DLPAL PRO and scoring a new instance. In Part Three, we presented the flow and details of how to generate historical attribute (features) ...

DLPAL PRO’s advanced capabilities are used to implement a long/short ETF strategy. We present the flow and examples of historical attribute, test/train and scoring files. A Binary Logistic Regression classifier is used to obtain the final results. Objective: Implement a long/short ...

In this article we show how to prepare historical files with continues features and a discrete target for an ensemble of securities using DLPAL PRO. Then, we apply machine learning on a random sample of half of the data and ...

In this article we show how to prepare historical files with continues features and a discrete target using DLPAL PRO. Then, we apply a binary logistic regression classifier on a random sample of half of the data and test the ...

Is Your Hedge Fund Using Your Money To Test Trading Strategies?

Yesterday, the Dow Jones Industrial Average gained 0.17% but the S&P 500 fell by about the same amount. Divergences in the returns of these two indexes occur about 10% of the time in daily, weekly and monthly timeframes and they ...

Variations in the results generated by different backtesting platforms are common. In this article, I compare year-to-date backtesting results from Amibroker and Quantopian for a robust strategy that was machine designed by Price Action Lab software a few years ago. ...

The bulk of trading strategies are random because they are either overfitted to noise or are the result of selection bias. However, there are ways of even profiting from random strategies. In this article I outline the general idea and ...

Academics have tried hard for many years to convince traders that they cannot profit from randomness. This has negatively affected markets by lowering liquidity and surrendering exchanges to robots and algos. This biased view is also partly responsible for the ...