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Simple Monte Carlo analysis tools are often used to assess the risks of trading strategies and to determine appropriate capitalization levels. However, simple trade reshuffling algorithms can produce misleading results in many cases and fool their users. There are several Monte ...

In the short-term stocks and bonds have again turned anti-correlated after a period of positive correlation, in the medium-term they show no correlation and in the longer-term they are anti-correlated.  Correlation depends on timeframe. This is nothing new: correlation, such as ...

This is a brief account of how I managed to beat the S&P 500 buy-and-hold return over the past six months, the mistakes I made and why I will not do it again this way. Last year I started a daily ...

Some quants are fooled by the longer-term upward bias in equity indexes such as the S&P 500 when backtesting trading rules. This structural  bias makes it hard to distinguish between profitable algos and spurious correlations unless the quant is willing ...

Visual chartists often believe they are doing technical analysis but in most cases what they do has little relation to it. It is not hard to distinguish between a modern technical analyst and a visual chartist.

Some signal providers and stock market newsletters overstate performance due to unrealistic calculations and a lack of risk and money management application. Some services and newsletters provide signals to traders and investors in different timeframes. Although competent people have the knowledge ...

A high win rate trading system for SPY was machined and designed using a deterministic method and a simple predictor of price. Validation of in-sample results was performed on out-of-samples of SPY and on an anti-correlated security. The results show that ...

In a recent blog I argued that the chances of finding a profitable trading algo via machine learning are for all practical purposes zero due to the large data-mining bias. One method of checking machine learning algorithms for the generation ...

The chances of finding a profitable trading strategy via the use of machine learning are extremely low.

Besides the fact that chart patterns are mostly random formations (see head and shoulders, double bottoms, triangles, flags, etc.), chartists also face some practical problems having to do with position size.  Trend-followers also have similar problems. This is because position ...