Category Archives: Trading Strategies

Generating Trading Signals From Strategies Developed With Price Action Lab

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

Posted in Trading Strategies | Tagged , , | Leave a comment

Academic Research Causes Crowding Effect

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.

Posted in Trading Strategies | Tagged , , , | Leave a comment

Developing A Trading Strategy For FANG stocks

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.

Posted in Strategy Synthesis, Trading Strategies | Tagged , , | 3 Comments

Year-To-Date Performance Of Three Mean-reversion Strategies

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.

Posted in Trading Strategies | Tagged , , , , | Leave a comment

Look-Ahead Bias And How To Detect It

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

Posted in Trading Strategies | Tagged | Leave a comment

Performance of TFADAPT and PSI Trading Systems in 2015

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.

Posted in Trading Strategies, Trend following | Tagged , | Leave a comment

Momentum, Randomness And Survivorship Bias

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

Posted in Asset Allocation, Quantitative trading, Trading Strategies, Trend following | Tagged , , , , , | Leave a comment