Tag Archives: autocorrelation
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?
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
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
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