Category Archives: Quantitative trading
This week was very good for weekly mean-reversion signals in DJIA stocks. Below are some details.
After you read this you may wonder who actually reads these articles. I suspect not too many because there is no hype here, just hard work. But making the distinction between market journalism and quant analysis is useful in my … Continue reading
Many articles, papers and books have been written about trading strategies and portfolio allocations with analysis and backtests based on non-tradable indexes. In many cases the conclusions are mere illusions caused by non-tradability.
The financial blogosphere is flooded with inaccurate backtests of trading strategies and portfolio allocations. The empirical rule is to never trust any backtests unless verified by expert consensus.
The long signal for $ROST was for the open of Tuesday, November 14, 2017. The profit target was hit yesterday.
In this article we analyze the performance of our mean-reversion strategies with three leveraged ETFs. Returns increase along with risk as expected.