Category Archives: Quantitative trading
Successful detection of anomalous price action in the daily time frame can offer an edge, especially under the discretion of an experienced trader. In this article we discuss one method of detection and include an example of the results.
Many quants around the world are trying to develop equity market neutral strategies because the premise behind them sounds appealing. However, these strategies have generated dismal returns in the last 11 years even when the 2008 bear market is included. … Continue reading
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
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.
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
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