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Significant Year-To-Date Mean-Reversion Performance

Our proprietary PSI mean-reversion long-only strategy is up 15.5% year-to-date with 5% maximum drawdown and 92.3% win rate. P-value is 0.0369 when the strategy performance is compared to that of random long-only traders.

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Profiting From Random Strategies

The bulk of trading strategies are random because they are either overfitted to noise or are the result of selection bias. However, there are ways of even profiting from random strategies. In this article I outline the general idea and … Continue reading

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Traders Should Stay Ahead Of Academic Research

Academics have tried hard for many years to convince traders that they cannot profit from randomness. This has negatively affected markets by lowering liquidity and surrendering exchanges to robots and algos. This biased view is also partly responsible for the … Continue reading

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A Random Walk Up And Down Wall Street

This article combines thoughts from an article by Howard Lindzon and my analysis on the performance of random trading. I argue that monkeys win in this market because the bulk of quant trading is worse than random.

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Market Timers Looking Forward To An Orderly Stock Market Crash

Market timers profit at the expense of buy and hold crowd when there is an orderly crash followed by a V-bottom recovery. The chart below demonstrates these facts.

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Data-Mining Bias Still Drives Wall Street Decisions

This latest article in Yahoo! Finance is an example of how data-mining bias still drives Wall Street decisions.

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Nasdaq-100 Recovery And The Wrong People Are Celebrating

The stocks of Intel and Cisco Systems are still 27% and 54% below their all-time high, respectively, on a dividend adjusted basis. The sluggish recovery in the tech sector for about 14 years after the bubble burst of 2000 is … Continue reading

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Quant Indicator Signals Surge in Intel’s Stock

Quant indicators do not completely eliminate all biases but are on the average more successful than visual charting and other techniques of the classical school of technical analysis. Here is how a quant indicator signaled the surge in Intel stock … Continue reading

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