Category Archives: Trend following

A Possible Revenge of the Efficient Market Hypothesis

A virtually flat S&P 500 for 133 days this year may be an indication that the efficient market hypothesis is taking its revenge. Share

Posted in Asset Allocation, Risk Management, Trend following | Tagged , , | 2 Comments

Momersion Indicator

I introduced the notion of momersion in a recent article. In this article I present an indicator of momersion along with backtest results of basic systems. Share

Posted in Quantitative trading, Trend following | Tagged , , , | 13 Comments

Selection Bias and Momentum Systems

Momentum systems are popular because they are supposed to generate excess alpha at lower risk. However, as in the case with traditional trading systems, momentum represents just another method that must be tested for significance and, more importantly, for intelligence … Continue reading

Posted in Quantitative trading, Trading System Analysis, Trend following | Tagged , , , , | 22 Comments

Fooled by Persisting Market Conditions

This blog is related to the previous blog on the RSI(2) but also conveys a much more general message about the impact of persisting market conditions and how they can fool trading system developers. In the case of the RSI(2) it … Continue reading

Posted in Market Statistics, Quantitative trading, Trading System Analysis, Trading System Design, Trend following | Tagged , , | 5 Comments

Another Long Uptrend in Stocks is Unlikely to Occur in the Near Future

The last golden cross in S&P 500 occurred on January 31, 2012. The 50-dma has stayed above the 200-dma for 774 days, or more than three years. It will probably take a while to have another golden cross that lasts … Continue reading

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BlueTrend Fund, Trend-Following and Data-mining

The BlueTrend fund returned 45.78% in 2008, in a year that the S&P 500 index fell 37% on a total return basis. However, in recent years the performance of the fund has deteriorated. I first present an analysis of the … Continue reading

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A Trend-follower’s Nightmare

Hindsight is a trader’s worst enemy because there is no guarantee that the future will be like the past. Yet, many books and articles promote trend-following based on hindsight. This blog offers an example of how a trend-follower’s worst nightmare … Continue reading

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