- Five Myths About Data-Mining Bias
- Deterministic Machine Design of Trading Systems With Strict…
- Quant Trading Without Neural Networks or Genetic Algorithms
- Fooled by Randomness Through Selection Bias
- Identifying High Probability Short-term Patterns
- Fooled by Machine Learning Applied to Trading Algo…
- The Most Important Performance Measure of Trading Strategies
- Quantitative Discretionary Trading: Back to the Future
- Dealing With the Small Samples of Technical Analysis
- Machine Generated SPY Patterns and Trading Systems
- The Day Momentum Died
- The Fundamental Problem of Backtesting and Why It Has Not…
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Category Archives: Trend following
Most investors neglect forecasting (timing) methods because of the theoretical and practical difficulties that are associated with the transition from strategic to tactical asset allocation. If a transition is decided, assigning the task to a registered adviser with experience in … Continue reading
The author of the book on Dual Momentum Investing, Garry Antonacci, wrote an article recently with nine reasons why momentum is neglected. Although I disagree that momentum is neglected, I list in this article three reasons why some investors avoid this … Continue reading
Both absolute and relative momentum strategies generated losses in 2015 while naive allocation schemes succeeded in preserving capital. In this article, I provide examples for a portfolio of two ETFs allocating to stocks and bonds.
On December 16, 2015, when the Fed raised short-term rates, the 10-Year Note yield was at 2.29%. After about a month, the market has neutralized the Fed action and the 10-Year Note yield has fallen by about 25 basis points.
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.
This was the worst first week of the year for U.S. stocks in at least 66 years. And this drop may not be related to interest rates, oil prices or geopolitical instability but to the fact that value investors are … Continue reading
The golden cross in S&P 500 from last month has just failed after another failed death-cross from October. Stock market trend followers are accumulating losses after a 4-year uptrend. A number of funds have already shut down operations.