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Some developers use the RSI3 instead of the RSI2 as part of their mean-reversion strategies. In this article we investigate the soundness of this choice. We consider long-only mean-reversion in SPY in this analysis. All backtests use fully invested equity and ...

The conflict about over-fitted market timing strategies versus passive investing has more to do with marketing and sales than with sound quantitative analysis.

While most traders and investors are trying to identify the next market top, we are already working on identifying the bottom that will follow, hopefully. Market top and bottoms can be identified via the use of moving averages crossovers but at ...

international stocks have consistently underperformed U.S. stocks

A non-exhaustive list is included below. 1.  Economists The first and obvious group is economists, no matter how important and famous they are. Their analysis has no value for traders and at times it is detrimental to investors because it suffers from ...

There are several methods used to validate trading strategies but each has advantages and disadvantages. In this article we discuss four validation methods. In trading strategy development validation is required because it is easy to over-fit strategies on historical data during ...

Year-to-date overnight price action reveals an interesting dynamic of the stock market and a persistent anomaly. Below is a chart of the low volatility S&P 500 ETF (SPLV) with overnight (brown) and regular trading hours (green) accumulation series. A persistent effect is ...

A reference to idiosyncratic trading strategies was made in a market commentary by Neal Berger, the President of Eagle’s View Asset Management. In this article we attempt to clarify what these idiosyncratic strategies are. Below is an excerpt from Neal Berger’s market ...

Why trading is hard and why mean-reversion has outperformed the golden cross signal in SPY in the last year and a half.

All actions in the markets based on any method, technical or fundamental, amount to forecasts.