- Procedure For Generating And Validating Price Action Lab Scan Results February 17, 2016
Price Action Lab can identify patterns in price series that have the potential of being true anomalies. In this article, I outline the steps followed for the identification of potential anomalies in daily data. Validation methods involve increasing the sample ...
- Strategies With High Win Rate And Lower Payoff Ratio February 5, 2016
Maintaining a constant profit factor while lowering the payoff ratio requires a strategy with higher win rate. In general, high win rate strategies are more difficult to develop but when combined with lower payoff ratio usually perform better during times ...
- The Transition From Strategic To Tactical Asset Allocation January 31, 2016
Most investors avoid forecasting (timing) methods because of the theoretical and practical difficulties that are associated with the transition from strategic to tactical asset allocation.
- Backtesting Conundrum November 27, 2015
About a week ago I ran into a backtesting conundrum while analyzing a simple relative strength ETF rotation strategy. A call to quants to compare results received only one answer but the cooperation led to a solution and to a ...
- Technical Analysis Has Contributed To A Massive Wealth Redistribution November 25, 2015
Classical technical analysis has contributed to the largest non-violent wealth redistribution in the history of mankind. Modern technical analysis is not doing any better. The massive wealth redistribution that was caused by the use of technical analysis from retail traders to ...
- The Charlatan’s Narrative November 18, 2015
Some charlatans pose as fundamental, technical, or even quant analysts. A frequent narrative these charlatans use involves a rise in stocks, and they justify it with some trivial analysis. Instead, they should be telling us when the market will fall, ...
- Evidence Based Analysis: CTA Underperformance November 14, 2015
I present evidence of the underperformance of the CTA group in the last 10 years and statistical analysis to rebut claims that the performance of a group of top 20 CTAs is more representative of this group’s performance. Below are yearly ...
- Trend-following is Dead: Update November 12, 2015
A blogger has attacked my recent article on trend-following. Below is my defense. This particular blogger, among other things, attacked the use of the Barclay CTA index as inappropriate while at the same time he tried to rebut my claims by using ...
- The Overnight Trading Anomaly in SPY and a Few Notes About Backtesting in R November 2, 2015
The overnight trading anomaly in SPY is well-known to many traders. In this article, this anomaly is backtested in R and I also make some general comments about backtesting in that language. A few days ago, Ilya Kipnis and I had ...
- Implementations of the Momersion Indicator October 17, 2015
The momersion indicator was implemented by three quants. I provide links to their blogs that include interesting analysis and code for the indicator. The momersion indicator was presented in this blog. Below are links to implementations by three quant traders. R implementation ...
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