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Announcing the Release of My New Book

I am pleased to announce the release of my new book Fooled by Technical Analysis: The perils of charting, backtesting and data-mining. Share

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Dip Buyers Are Gamblers

During high volatility periods and especially near major tops and bottoms there are opportunities for dip buyers. The gains are random and those who think they were able to predict them usually return them back to the market if they … Continue reading

Posted in Market Statistics, Quantitative trading | Tagged , , | 2 Comments

Death Cross in SP500 After 1016 Days

Unless the S&P 500 closes on Friday above 2047.86, there will be a 50-200 death cross. The last one occurred 1016 ago on August 12, 2011. It appears that this type of signals like the month of August. Share

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Projections of Closing Prices Required for Moving Averages to Cross

The calculation of the closing price required for a moving average crossover to occur is straightforward as shown in this blog. Share

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Robots Do Not Take Vacations and Six Other Facts of Markets

The robot is the modern slave: no vacation, no coffee break. It is also a good tool to execute a correction during times humans are on vacation. This and other facts are included below. Share

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Performance of Two Strategies in Momersion Regimes

In this blog we analyze the performance of two popular mean-reversion trading systems in momersion regimes, i.e., when there is no clear indication whether a market is driven by momentum or mean-reversion. One conclusion is that one of the systems … Continue reading

Posted in Quantitative trading, Trading System Analysis | Tagged , , | 3 Comments

Quantitative Analysis of the Stock Market Correction

The return of the last four days is slightly not normal and the Hurst exponent indicates a possible painful process towards a bottom. Share

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A Possible Revenge of the Efficient Market Hypothesis

A virtually flat S&P 500 for 133 days this year may be an indication that the efficient market hypothesis is taking its revenge. Share

Posted in Asset Allocation, Risk Management, Trend following | Tagged , , | 2 Comments