- More on the Perils of Statistical Hypothesis Testing [Premium Articles] October 11, 2015
Hypothesis tests based on one-sample t-tests and on bootstraps can be misleading, especially when returns are generated by an over-fitted trading strategy designed via machine learning and multiple comparisons.
- Ruined by Hypothesis Testing [Premium Articles] September 27, 2015
Hypothesis testing is often a naive way of assessing the significance of trading strategies because results are conditioned on historical data and can be plagued by multiple comparisons.
- Jim Simons: Trend-Following is Broken September 24, 2015
Jim Simons expressed his views about trend-following during a TED interview. Revised February 21, 2019. During a Ted interview, Jim Simons showed a commodity chart and talked about how in the past traders were able to use 20 days of prices (and their ...
- Why My New Book is Available Through a Website Subscription September 19, 2015
I have decided to publish my fourth book in the form of protected web pages accessed via a subscription. I hope that more quant traders will follow this route. I offer a few explanations below for my decision based on my ...
- Probability Investing September 15, 2015
Trading and investing based on probabilities are fraught with many difficulties. Most of the difficulties arise from the very nature of probability. Article updated on July 29, 2020.
- Trend Followers Make Forecasts September 7, 2015
There is an ongoing debate in some trading forums about whether trend-followers make forecasts. The debate started after in an interview, Michael Covel, who is an author, claimed that trend-followers do not make predictions.
- Counter-Intuitive Facts About Backtesting September 3, 2015
One would think that by backtesting more ideas and more frequently, the chances of discovering an edge increase. However, the opposite happens, and the chances of discovering something of value diminish with frequent backtesting. If you believe this is counterintuitive, you ...
- Announcing the Release of My New Book August 31, 2015
I am pleased to announce the release of my new book Fooled by Technical Analysis: The perils of charting, backtesting and data-mining. Publisher: Michael Harris Date: September 1, 2015 Language: English 270+ pages (6″ x 9″ trim) 74 high quality charts Available online only Table of Contents I ...
- Projections of Closing Prices Required for Moving Averages to Cross August 27, 2015
The calculation of the closing price required for a moving average crossover to occur is straightforward as shown in this article.
- Momersion Indicator August 13, 2015
I introduced the notion of momersion in a recent article. In this article I present an indicator of momersion along with simple code for Amibroker.
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