Subscribe by email
- Data-mining And Validating Thousands Of Potential Price…
- Deterministic Machine Design of Trading Systems With Strict…
- Quant Trading Without Neural Networks or Genetic Algorithms
- Fooled by Randomness Through Selection Bias
- The Most Important Performance Measure of Trading Strategies
- Identifying High Probability Short-term Patterns
- Fooled by Machine Learning Applied to Trading Algo…
- Asset Allocation (20)
- Economic Analysis (79)
- Forex trading (8)
- Market Statistics (304)
- Premium Content (125)
- Premium Signals (4)
- Price Action Lab Alerts (133)
- Price Action Lab Patterns (157)
- Quantitative trading (121)
- Risk Management (46)
- Strategy Synthesis (87)
- Technical Analysis (816)
- Trading Strategies (152)
- Trend following (58)
- Uncategorized (34)
Category Archives: Trading Strategies
In this article we outline a procedure for generating trading signals from strategies developed with Price Action Lab. This is a basic methodology for strategies in the daily timeframe and it makes use of the system tracking capability of the … Continue reading
Recent studies reveal that academic research impacts fund profitability due to a crowding effect when anomalies are revealed and investors learn about any mispricing. Fund managers and traders must try to stay ahead of academic research.
The development of a trading strategy for FANG stocks was based on applying portfolio backtest validation during the identification phase. This was done for the purpose of reducing data-mining bias. This article outlines the steps followed and the results.
Year-to-date performance trading the SPY ETF: Popular RSI(2) system -2.9%, WR2 system +8.19% and PSI system -0.5%. More details with charts are included below.
Look-ahead bias in backtests usually involves counting returns before the entry signal and in some cases also omitting returns due to the exit signal. In essence, this amounts to a backward shift of returns and it is mostly due to … Continue reading
The TFADAPT and PSI trading systems were not data-mined. The latter is based on a formula from a text on probability and stochastic processes and the former uses a trend detection method that takes into account volatility.
It is entirely possible that any outperformance of momentum strategies is due to survivorship bias. I present two examples of simple market anomalies that suddenly disappeared without warning and I claim that this will be the fate of momentum too. … Continue reading