Category Archives: Trading System Analysis

The Contrarian Z-Score and Why You Should Always Strive to Reject Trading Systems

When I first read about the z-score system some years ago I knew it was a fluke. Descriptive statistics cannot be easily converted to edges due to non-stationarity.  More importantly, a quant should be always suspicious and strive to reject systems. … Continue reading

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Buying the Dips Can Provide That Much Needed Excess Alpha

Dip buying has been prevalent this year. There is a reason for that: dip buying has the potential of offering the excess alpha that is needed to overperform a benchmark index. Specific examples and statistics are included using the SPY proxy. Share

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Functions and Capabilities of Price Action Lab Software

This is a brief introduction to the functions and capabilities of Price Action Lab software that is used by systematic and discretionary quant traders. Share

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Inside Days and the Technical Analysis Myth Building

Undoubtedly, inside days denote indecision. But this is as far as we can go. That these common formations can tell as anything about price action in any timeframe is another technical analysis myth. Share

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The RSI Spread Indicator in SPY Reaffirms Previous Long Signal

The RSI spread indicator in SPY is at -19.40 as of the close of yesterday. For a 5% profit-target and stop-loss for long positions the positive bias is large and significant. Share

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Analysis of the Timing Ability of a Machine Designed Trading System

The timing ability of a machine designed trading system for SPY is analyzed using random data.  The performance of a system designed on random data is compared to that of a system designed using actual data. The hypothesis that the system that … Continue reading

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PAL v6.0 is Coming

Version 6.0 of Price Action Lab will be the most comprehensive update to the program ever released. It will include several new and useful functions for both discretionary traders and mechanical system developers. More details and a special offer follow. Share

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