Tag Archives: autocorrelation

Is BTFD Just A Meme Invented By Bears?

Is BTFD a meme for bears in an attempt to explain how the market is manipulated higher by central banks? Or is it something more fundamental?

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Long-Term Backtests Can Be Misleading [Premium Articles]

Authors of popular books and blog articles often present long backtests of certain strategies that exhibit superb risk-adjusted performance. It is important to realize that it is highly possible that these superb results are due to market conditions that may … Continue reading

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Time-Based Exits, Trend Filters and Misleading Backtests

Some technical analysts use time-based exits and trend filters in their backtests. However, these can be quite misleading if at some point in time there was a major shift in market conditions. I offer a specific example to demonstrate this … Continue reading

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RSI2 and WR2 System YTD Performance in Securities with High and Low Serial Correlation [Premium Articles]

This premium article shows specific examples that confirm findings in a recent blog regarding the impact of autocorrelation on the performance of the RSI2 and WR2 systems. For access to premium content, you must be a subscriber. Please login if you are … Continue reading

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Fooled by Persisting Market Conditions

This article is related to the previous article on the RSI(2) but also conveys a much more general message about the impact of persisting market conditions and how they can fool trading system developers. In the case of the RSI(2) it was … Continue reading

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