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Maybe this is one of the best kept secrets in Wall Street, exposed today to the readers of this blog. To make a long story short, although the YTD return of AAPL is about -5% when adjusted for dividends, buying the stock ...

I have argued in the past that VIX, for all practical purposes, tracks the inverse S&P 500 index. Actually, there are much better technical indicators of volatility, like for example the Average True Range (ATR) measure. It is shown here that VIX ...

In the last 20 years the best time to buy stocks was during periods of high volatility that marked the lows of major bear markets. Yet, the timing of long entries of many investment models is based on low volatility, ...

This article introduces the process of Walk-Forward Trading System Synthesis™. I show with an example that in the case of price patterns this process may not offer any advantages over the traditional Trading System Synthesis process that uses the whole available in-sample of ...

Price Action Lab (PAL) is a software program used by quantitative traders and hedge funds around the world for algo discovery and discretionary trading. This article lists the main features of PAL. Price Action Lab has three main functions: search for price patterns, scan for price patterns ...

In the blogosphere and elsewhere one can find many articles about optimal position sizing and on maximizing equity growth via the use of fancy math, for example the Kelly ratio.

You are a fund manager and you are making a 30% return for the year just by employing a naïve golden cross trend-following strategy. You know that if a correction begins now, maybe up to 7% or even more may ...

I have talked about the significant variations between unadjusted and dividend adjusted stock charts, as well as between continuous and adjusted futures charts, and how they can lead to very different inferences in the context of classical technical analysis. This empirical ...

In the recent past classical chart analysis has produced some major failures, including that of the notorious complex top in bonds in the beginning of 2012 that failed miserably, causing devastation to bond bears and another blow to this ambiguous practice. There is another challenge ...

The 5-day winning streak in S&P 500 and SPY is a pattern easy to spot on a daily chart but any inferences about the future direction of the market based on only this pattern are based on selection bias. There ...