Tag Archives: autocorrelation

Stock Market Autocorrelation Turns Negative

After almost a year, the 1-lag, 252-day autocorrelation of daily S&P 500 simple returns has turned negative.

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The Time Period In The Stock Market When Almost Everything Worked

Almost all trading and investing methods worked in the time period from the mid 1990s to the top of the dot-com bubble. Academic papers and technical analysis results that consider data from that period may be getting fooled by conditions … Continue reading

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S&P 500: Increase In Autocorrelation Persists During Rebound

A comeback of positive autocorrelation in S&P 500 returns after about 14 years can be attributed to the recent correction and subsequent rebound.  This had had a negative impact on some popular mean-reversion strategies. Momentum algos may benefit if the … Continue reading

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Long-Term Backtests Can Be Misleading

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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Short-Term Mean Reversion in Action

Since November 3 there has not been a two-day winning streak in S&P 500.  Despite that, prices reverted back near their highs after a short-term correction. This is mean reversion in action and it is part of the new market … 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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