Profiting From the Losers

Trading system developers usually look for profitable algos that stay profitable but one could instead look for profitable algos that have high probability of turning unprofitable and then trade against them during a period of mean-reversion.

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Market Analysis for Week of Monday, May 18, 2015 [Premium Articles]

This premium report includes technical and quantitative analysis for:

  • Indexes: S&P 500, NASDAQ-100, Russell 2000
  • ETFs: SPY, QQQ, DIA, IWM, GLD, SLV, TLT, USO, DBC, XLF, EEM, XLE, EFA, EWJ, XLP XLV, XRT, XLU, XLK, XLB, XLI, UNG, IBB, IYR, SMH, TAN, GDX, XHB, XME
  • Stocks: All Dow-30 components

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Rolling Expectation, Expectancy and Win rate of SPY

The rolling expectation, expectancy and win rate of SPY reveal interesting facts about the dynamics of the stock market.

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Lying Gurus and Clueless Self-Proclaimed Authorities

Some financial gurus deliberately lie to achieve their end objectives. This is part of the game because they are rewarded based on performance and not based on what they said in the financial media. The situation with self-proclaimed authorities is even worse: they make unsupported claims where they have little to gain.

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System Code Add-on For Price Action Lab

There is a new addition to Price Action Lab software that increases flexibility and the productivity of users. A new add-on significantly advances the existing automatic code generation of the software by allowing automatic generation of code for systems consisting of any number of price patterns, long or short.

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Fooled by Monte Carlo Analysis

Simple Monte Carlo analysis tools are often used to assess the risks of trading systems and to determine appropriate capitalization levels. However, simple trade reshuffling algorithms can produce misleading results in many cases and fool their users.

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Directionless Market at a Crucial Turning Point

The S&P 500 is in a tight consolidation for 68 days while low volatility stocks are negatively impacted by the search for alpha even at higher beta. These unusual market periods often mark a significant turning point. But let us not rush to equate that with the beginning of a bear market because the future is unknown.

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