- Open Vs. Close Predictors in Strategy Synthesis June 12, 2016
We compare the out-of-sample performance of two predictors of price based on the close and open of daily data. We find that for the deterministic data-mining process used in the in-sample and for the markets tested, the out-of-sample performance of ...
- Impact Of Volatility On Market Returns May 24, 2016
The negative impact of volatility on market returns is well-known to quantitative traders but maybe not well understood by investors.
- Academic Research Causes Crowding Effect May 12, 2016
Recent studies reveal that academic research impacts fund profitability due to a crowding effect when anomalies are revealed and investors learn about any mispricing. Fund managers and traders must try to stay ahead of academic research. Below is an excerpt from ...
- The Startups Of Broken Dreams April 3, 2016
Most startups fail, and entrepreneurs go broke or end up in debt. The chances of success for startups are low, some say less than 1 in 10. An article in Forbes magazine not long ago detailed some of the key reasons ...
- Look-Ahead Bias And How To Detect It March 29, 2016
In this article I provide an example of look-ahead bias and suggest practical ways of detecting it.
- Data-mining And Validating Thousands Of Potential Price Anomalies March 19, 2016
Identifying true price anomalies is the key to profitable trading but the process is complex and has many pitfalls. In this article I provide an example of how to identify thousands of potential price anomalies on a daily basis and ...
- There Are Still Plenty Of Anomalies in Price Series March 16, 2016
Despite relentless data-mining and arbitrage, there are still plenty of anomalies in the price series of liquid securities that traders can exploit. Yesterday, one such anomaly that is related to an interesting short signal was identified ex ante via data-mining. The particular ...
- The Diminishing Impact Of Dividends On Stock Market Returns March 13, 2016
The impact of dividends on the rolling 30-year S&P 500 total return has been decreasing steadily since the 1960s. Although wealth accumulation in the past relied mainly on dividend reinvestment, nowadays it is more related to share price gains. Depending ...
- Misuse And Abuse Of The Notion Of Probability March 10, 2016
Probability is an often abused and misused notion, especially in technical analysis, trading, and investing. Although claims of high-probability setups or macro bets are constantly being made, they are only justified when the probability is defined as a measure of ...
- New Book Release: 15 Lies About Trading And Investing March 10, 2016
The purpose of this book is to expose certain lies about trading an investing that are presented as indisputable facts, usually by individuals who have limited or no real exposure to the markets, or by those who desire to gain ...
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