Category Archives: Trading Strategies

Performance Update of Weekly Dow 30 Stocks Mean-Reversion Strategy

In the last two weeks the S&P 500 has fallen 5.1%. Our DOWWMR mean-reversion strategy in weekly timeframe is down 3.5%.  Year-to-date the strategy is gaining 10.4% versus 4.8% for S&P 500 total return.

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Leveraging the Performance of a Weekly Mean-Reversion Strategy

A Market Signals subscriber from beautiful Brazil inquired about the possibility of using a leveraged ETF in place of SPY ETF, or even account margin, for boosting the performance of our MRSPYW weekly mean-reversion strategy. Below is our analysis.

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Weekly Mean-Reversion In Dow 30 Stocks Outperforms Benchmark Year-to-Date

Our weekly mean-reversion strategy for Dow 30 stocks is based on a formula from probability theory that models price action dynamics. Year-to-date the strategy is gaining 13.9% versus 10.4% for S&P 500 total return.

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Has the Internal Bar Strength Indicator Lost its Strength?

The performance of trading strategies based on Internal Bar Strength (IBS) has been declining in recent years. In this article we include backtest results for SPY ETF and a large cap stock portfolio that demonstrate the declining performance. We also … Continue reading

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Are Trading Strategies Based on the RSI2 Random?

The Relative Strength Index is a popular indicator for developing short-term long-only strategies but careful analysis shows that its performance depends on price action dynamics and as a result ex-ante parameter selection is hard or impossible.

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Effect Of Dividend Adjustments on Portfolio Backtests

In this article we look at the effects of dividend adjusted data on portfolio backtests.

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