Monthly Archives: December 2012

What Return?

This is the time of the year when performance statistics are published in the blogoshpere. One of the parameters reported is the arithmetic 1-year return for stocks, commodities, currencies, funds, etc. But what return? The details of the calculations are usually left out. Here is … Continue reading

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Fundbusters

The fundbusters team includes your familiar quant blogger, your local college professor and everyone else who can identify an edge and publish the results in a journal or in the blogosphere. As fundbusters get satisfaction from publishing edges rather than from using … Continue reading

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The Main Cause of Failure of Some Popular Technical Trading Methods

Trend-following based on indicators and classical chart patterns are two trading methods that were developed in mid 20th century using data from the equity markets mainly. These methods worked well for an extended period of time in those markets due to the presence of autocorrelation. After … Continue reading

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Price Patterns With Delayed Entry

The introduction of a delay in the entry of a position after a price pattern is formed can under certain circumstances act as a filter of price corrections that often follow. In the absence of a delay, positions may suffer an immediate … Continue reading

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A Common Mistake in Calculating Correlations

I often see posts in various blogs that include correlation tables obtained from other blogs that are considered to be realiable sources of information.  As far as I am concerned, no information is realiable until it is checked thoroughly. Using analysis for investment decisions taken from various websites without … Continue reading

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