Monthly Archives: November 2012

Chaos in Technical Analysis and Backtesting – Part III: Split-adjusted Data

Parts I and II of the series Chaos in Technical Analysis and Backtesting discussed some of the problems that arise in the context of technical analysis and backtesting when using split and dividend adjusted data. In this post I discuss the … Continue reading

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Are the Returns of Your Fund Manager Platykurtic or Leptokurtic?

If you do not know the answer or, even worse, if the manager does not know the answer, then you may be up for surprises in the future, pleasant or unpleasant. Most fund managers focus on return and risk as measured by volatility and … Continue reading

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Another Curve-Fitted Counter-Trend Strategy

My research indicates that most counter-trend strategies depend on suitable market conditions to perform well. Robust strategies should work well under all possible market conditions because we can never know when the conditions will change. In this post, I present an analysis … Continue reading

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Your Next Challenge Involves Staying Ahead of Academic Research

You have worked hard to come up with an edge and you have employed all sorts of measures to preserve it. You have built your fund business the hard way by delivering absolute return to clients. Next thing you know … Continue reading

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There is no Evidence that Counter-Trend Trading is Viable

Trend-following is a very popular trading method employed by funds, longer-term investors and even mechanical and discretionary traders. This method of trading is compatible with common sense and its success has been verified in practice by multi-year performance records showing exceptional … Continue reading

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An Analysis of the Double 7s Strategy [Premium Articles]

In this post I analyze the “Double 7s Strategy”, originally revealed in the book Short Term Strategies that Work: A Quantified Guide to Trading Stocks and ETFs, by L. Connors and C. Alvarez. The backtesting results indicate that this popular and … Continue reading

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