Portfolio

My work on new indicators and trading strategies. It includes a list of selected free and premium articles.

New indicators

Bear Market Probability
Momersion

Harris’ RSI
Gambler’s Fallacy
Probability State
N-Bar Win rate
P-Dow
SNR
Expectation in Price Action

Price Action Anomalies

Bond anomaly
Seasonality anomaly

Trading strategies

Click here for a list of proprietary strategies and related details.

Three Mean Reversion Strategies
Trading Multiple Strategies
Performance Of the PSI5 Mean-Reversion Strategy

For Hedge Funds

Fluxionization Trading Strategy
Long/Short Equity Strategy
Portfolio Level Mean-Reversion
Diversification via Forex
Market Neutral Long/Short Equity Strategy
Institutional grade mean-reversion

More strategies for hedge funds

 

Portfolio allocation and market timing

Comparison Of Two Strategic Portfolio Allocations
The 60/40 Passive Allocation
Portfolio Performance in 2016
Trading Vs. Investing
Investing in European Stocks is a Forex Bet
Forex As An Asset Class
How Risky Is The 60/40 Portfolio?

Long-Only Equity Strategy Benchmark
Tactical Investing Conundrum
International vs. U.S. Stocks
Passive Investing Is An Over-Fitted Strategy
No Free Lunch In Portfolio Allocation

Papers and Interviews

Limitations of Quantitative Claims About Trading Strategy Evaluation
An Interview With Michael Harris

Selected Articles
For more articles visit the blog archive

Books

Short-term Trading With Price Patterns (out-of-print)
Stock Trading Techniques With Price Patterns (out-of-print)
Profitability and Systematic Trading (Out-of-print)
Fooled by Technical Analysis
15 Lies About Trading And Investing

Selected articles about trading strategy development and machine learning in Medium.com

Selected articles  published in Seeking Alpha

The Ambiguous VIX: A Fear Gauge Or A Contrarian Indicator
The Managed Futures Dilemma
PIMCO’s Old And New Bets: Should You Replace Treasuries With Munis?
No Signs Of A Bond Bear Market For Now
Fundamental Factors That Can Drive U.S. Bond Yields Lower
The Perils Of Using Moving Averages In Asset Allocation Models
The Efficient Market Hypothesis May Be Gaining Ground
Evidence-Based Analysis Of Commodity Trading Advisor Performance
An Explanation Of The Persistence Of The Momentum Anomaly
Dividends And Stock Market Returns
Outperforming Buy And Hold Does Not Prove Skill
Naive Portfolio Allocation Schemes
Market Timing And Gambling
2 Portfolio Allocations For Conservative Investors
An Example Of How Data-Mining Bias Plagues Fund Management
Diminishing Stock Returns And The Unavoidable Bear Market
Investing In European Stocks Is A Forex Bet
The 60/40 Portfolio Is A Risky Investment
Portfolio Allocation Is No Free Lunch

Older articles in trading magazines

“Trading Probabilities”, Active Trader Magazine, March 2001, p. 76.
“Keeping it Simple”, Active Trader Magazine, September 2001, p. 82.
“Beyond Strategy Testing”, Active Trader Magazine, March 2002, p. 70.
“Facing the Facts of Risk and Money Management”, Active Trader Mag., May 2002, p. 54.
“Simple but Effective”, Active Trader Magazine, June 2002 p. 64
“Price Pattern Autopilot”, Active Trader Magazine, September 2002, p. 70.
“The Profitability Rule”, Stocks & Commodities, September 2002, p. 30.
“When it Pays to Wait”, Active Trader Magazine, February 2003, p. 48.
“Trend Trading with Short-term Price Patterns”, Active Trader Magazine, June 2003, p. 31
“Testing for Profitable Short-term Price Patterns”, Traders’ Magazine, January 2005
“Using a Trade Input Delay”, Traders’ Magazine, March 2005
“Pice Patterns Surviving the Test of Time”, Traders’ Magazine, May 2005
“Derivation of the Profitability Rule”, Traders’ Magazine, July 2005
“Trading System Development in Six Steps”, Traders’ Magazine, September 2005
“Going Against the Trend – Do Countertrend Strategies Payoff?”, Traders’ Magazine, Nov 2005
“Synthesis of Trading Systems: Beyond Back-testing and Analysis”, Traders’ Magazine, Jan 2006
“Trade Signals”, Traders’ Magazine, March 2006
“Trend Following Strategies Based on Short-Term Price Patterns”, Traders’ Magazine, June 2006