Category Archives: Risk Management

A Possible Revenge of the Efficient Market Hypothesis

A virtually flat S&P 500 for 133 days this year may be an indication that the efficient market hypothesis is taking its revenge. Share

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Identifying Momentum Price Patterns

Momentum is usually identified by a simple price pattern that compares current price to price N periods ago. This article considers an extended class of momentum price patterns and the results are used to develop longer-term trading models based on … Continue reading

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Putting Their Hindsight to Work for You

Hindsight can be useful to traders and investors if they realize that the bulk of market analysis about the markets is based on it. For example, a trend is realized only in hindsight because while it is formed every point … Continue reading

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The Stock Market Trend is Still Strong According to Kelly Leverage

Optimal leverage for continuous rebalancing of a passive SPY tracking strategy is still above its longer-term mean and far from trend reversal trigger levels. Technically, this is a strong market despite the recent consolidation. Share

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The Perils of Day and Position Trading in Zero-Sum Markets. Part Two: Futures Position Trading

This is the second 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 a simulation of a large number of random trading systems in E-mini … Continue reading

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How I Beat the Market Over the Past Six Months

This is a brief account of how I managed to beat the S&P 500 buy-and-hold return over the past six months, the mistakes I made and why I will not do it again this way. Share

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How Some Signal Providers Overstate Performance

In most cases it is not fraud but a result of incompetence. However, it is a fact that some signal providers do overstate performance with unrealistic calculations while others do not report it at all. Share

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Uninformed Investors Will Lose

The markets rarely reward uninformed investors. Uninformed investors in the tech sector suffered devastating losses in 2000 and the same happened to those that were not informed about the coming debt crisis in 2008. History often repeats itself and the … Continue reading

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