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- Automatic Code Generation For Quantopian Platform
- 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 Overfitting And Selection Bias
- The Most Important Performance Measure of Trading Strategies
- Identifying High Probability Short-term Patterns
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Category Archives: Trading Strategies
Based on an analysis on limited historical samples, buying a two-day drop in S&P 500 of more than 5% is a risky bet for both short-term and position traders. The chances of making a profit naturally increase as the holding … Continue reading
We compare year-to-date performance of three mean reversion strategies for trading SPY: RSI2, WR2 and IBS. The RSI2 strategy is generating losses while the WR2 strategy outperforms the IBS strategy and also buy and hold. Since 2010, the IBS strategy … Continue reading
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.