Category Archives: Quantitative trading

Log, Annualized and Total Return

There are two returns useful to traders and investors: total and annualized return. The log return used in finance does not provide any useful information because it has no physical significance. An example from bitcoin market is included.

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CAGR Illusions

The compound annual growth rate (CAGR) is a useful but often misleading metric, especially when calculation periods are chosen purposely by sales and marketing people. Below is an introduction to CAGR, an example that shows how ambiguity arises and how … Continue reading

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Facebook Drop Boosts FAANG Long/Short Strategy Returns

Our long/short FAANG strategy operates in the weekly timeframe. The strategy generated a short signal for Facebook stock after the close of last week on Friday, March 16. The strategy is up 13% year-to-date.

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Dealing With The Infinite Possibilities Of Price Action

In articles in blogs and in financial and social media, quants identify patterns in some securities that appear profitable or unprofitable. In many cases these attempts reflect a fight against infinite possibilities and insufficient samples but also show lack of … Continue reading

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Two Empirical Rules About Backtesting

Most backtests in financial blogosphere and even academic papers are wrong or ambiguous not only due to data-mining bias and over-fitting but also due to errors. Backtesting correctly requires understanding of data, software and markets. Knowing how to program is … Continue reading

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