Tag Archives: autocorrelation

Buying the Random Dips

There is a lot of cash out there and stock market dips, like the one at the open of yesterday, sometimes are perceived as great opportunities. Economic news releases are often used as excuses, in the sense of confirmation bias. This … Continue reading

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Is There Any Future in Equity Index Trend-Following?

The problem of trend following is fundamentally simple: choppy markets reduce the effectiveness of trend-following algorithms and shorter trend durations reduce their profitability. There is no need for a more sophisticated analysis. About 15 years ago I derived an equation that describes the problems … Continue reading

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Short-term Correction is Getting Closer

The ATR(14) and the RSI(14) are near levels that in the recent past have marked the beginning of a short-term correction in the S&P 500. Share

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The Main Cause of Failure of Some Popular Technical Trading Methods

Indicator based trend following and classical chart patterns are two trading methods that were developed in mid 20th century using data from the equity markets mainly and worked well during an extended period of time in those markets due to the presence of autocorrelation. After 1998 things … Continue reading

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