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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 … Continue reading

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The Perils of Day and Position Trading in Zero-Sum Markets. Part Three: Forex Day Trading

This is the third part of a four part series on the perils of day and position trading in futures and forex markets. In this part, the results of simulations involving a large number of random trading systems using intraday … Continue reading

Posted in Forex trading, Quantitative trading | Tagged , | 2 Comments

Stock Market Catastrophology

I am not talking about the short-term swings this blog tries to anticipate but a much more serious decline due to some unexpected event. Here are two scenarios. Share

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One of my Best Indicators Says the Stock Market is Too Weak

This meta-indicator has a high success rate. As of the close of yesterday it gave another signal of a short-term correction. Share

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There is No Overnight Edge in SPY

In January of 2011 there was an article in Bespoke about an overnight edge in SPY. I responded with two articles that showed that the edge was purely hypothetical. Since then, it is not even an issue of a hypothetical … Continue reading

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Profiting From the Losers

Trading system developers usually look for profitable algos that stay profitable but one could instead look for profitable algos that have high probability of turning unprofitable and then trade against them during a period of mean-reversion. Share

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Technical Analysis of FB, TWTR, TSLA

Technical Analysis FB Price action is confined inside a channel with a small upward slope, as shown on the chart. The 14-day Harris’ RSI shows increasing strength and the volatility, as measured by the 14-day ATR expressed as a percentage … Continue reading

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