Category Archives: Trend following

Market Timers Looking Forward To An Orderly Stock Market Crash

Market timers profit at the expense of buy and hold crowd when there is an orderly crash followed by a V-bottom recovery. The chart below demonstrates these facts.

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Market Timers And Gambling

Arguments in favor of market timing usually rest on the existence of the momentum premium anomaly and empirical analysis that shows it can be captured with relatively simple strategies, such as moving averages and price rate of change. However, these … Continue reading

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Absolute Momentum Woes

There are now two back-to-back golden crosses and two back-to-back death crosses of the 50-day and 200-day moving averages in S&P 500 that have generated losses. This is the highest number of consecutive losers in the last 66 years. Absolute … Continue reading

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Year-To- Date SPY Absolute Price Series Momentum Performance

Absolute price series momentum woes in the equity markets continue this year. Only one of the four models considered shows positive performance in SPY.

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CTA Woes Continue in 2016

Top 50 CTA performance results for the first four months of this year are estimated to be negative by BarclayHedge, after positive returns in the first two months. If this year’s performance is negative, it will be the fifth yearly … Continue reading

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The Power Of Trend-Following Adaptation

Since the start of 2015, the standard long/short 50/200 moving average crossover system has suffered a 26% loss in SPY at about 30% maximum drawdown. The adaptive variant of this system is down only 3.6% at 12% maximum drawdown. Since … Continue reading

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Take Market Timing Model Research With A Grain Of Salt

Taking market timing model research with a grain of salt applies to both academic and practitioner domains. In addition to data-snooping and selection bias, there may be other subtle issues with reported results. For example, a recent paper claims there … Continue reading

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A Potential Shock To Financial Literature And Momentum

This could be a real shock to financial literature related to the performance of moving average rules. A new paper claims that there is look-ahead bias in published results that are being extensively used as evidence of the high performance … Continue reading

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