Portfolio

Our work on new indicators and disclosed trading systems. 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
Rolling expectancy
P-Dow
SNR
Expectation in Price Action

Price Action Anomalies

Bond 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

 

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

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

Articles about trading strategy development and machine learning in Medium.com

Projects

Michael Harris and his support group with excellent understanding of the markets and advanced quant skills are available for remote consulting in the following areas:

  • Trading strategy development and analysis
  • Asset allocation and portfolio evaluation
  • Trading risk management

Please use the contact form to introduce yourself and/or your company and provide a brief description of the project.