Market Analysis for Week of Monday, May 25, 2015 [Premium Articles]

Performance of the results of the previous report: ETFs: +0.12%, Stocks: +0.71%

This premium report includes technical and quantitative analysis for:

  • Indexes: S&P 500, NASDAQ-100, Russell 2000
  • ETFs: SPY, QQQ, DIA, IWM, GLD, SLV, TLT, USO, DBC, XLF, EEM, XLE, EFA, EWJ, XLP XLV, XRT, XLU, XLK, XLB, XLI, UNG, IBB, IYR, SMH, TAN, GDX, XHB, XME
  • Stocks: All Dow-30 components

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Five Myths About Data-Mining Bias

Data-mining is widely used nowadays for trading algo development. There are several myths about how to deal with data-mining bias. This blog exposes five such myths.

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RSI2 and WR2 System YTD Performance in Securities with High and Low Serial Correlation [Premium Articles]

This premium article shows specific examples that confirm findings in a recent blog regarding the impact of autocorrelation on the performance of the RSI2 and WR2 systems.

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Fooled by Persisting Market Conditions

This blog is related to the previous blog on the RSI(2) but also conveys a much more general message about the impact of persisting market conditions and how they can fool trading system developers. In the case of the RSI(2) it was the lack of serial correlation after the 1980s that contributed to its profitability. In case conditions change in the future, many traders and funds with algos that rely on negative serial correlation will face significant drawdown levels.

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Posted in Market Statistics, Quantitative trading, Trading System Analysis, Trading System Design, Trend following | Tagged , , | 5 Comments

Two-Period RSI Versus a Two-Day Losing Streak

The RSI indicator has served as the foundation of several popular short-term trading strategies over the years mainly due to its popularity. In the article I compare the results of a basic system based on a two-period RSI to those of a system that is based on a two-day losing streak.

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Posted in Technical Analysis, Trading System Analysis | Tagged , , | 16 Comments

Directional Probabilities for Friday, May 22, 2015 [Premium Articles]

This article includes calculations of the directional probabilities of: {SPY, QQQ, DIA, IWM} group, 27 popular ETFs, DOW-30 stocks and S&P 500 stocks.

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