Tag Archives: data-mining bias

Data-Mining Bias Still Drives Wall Street Decisions

This latest article in Yahoo! Finance is an example of how data-mining bias still drives Wall Street decisions.

Posted in Risk Management | Tagged , , , , | Leave a comment

Market Overanalysis Is Detrimental To Success

The more discretionary and quant traders try to analyze market price action, the higher the chances of failure. This may sound counter-intuitive because it contradicts the common belief that the more one tries to achieve a goal, the higher the … Continue reading

Posted in Quantitative trading | Tagged , , , , | Leave a comment

Momentum, Randomness And Survivorship Bias [Premium Articles]

It is entirely possible that any outperformance of momentum strategies is due to survivorship bias. I present two examples of simple market anomalies that suddenly disappeared without warning and I claim that this will be the fate of momentum too. … Continue reading

Posted in Asset Allocation, Quantitative trading, Trading Strategies, Trend following | Tagged , , , , , | Leave a comment

Backtesting Conundrum

About a week ago I ran into a backtesting conundrum while analyzing a simple relative strength ETF rotation strategy.  A call to quants to compare results received only one answer but the cooperation led to a solution and to a … Continue reading

Posted in Quantitative trading, Technical Analysis, Trading Strategies | Tagged , , , , , , , | Leave a comment

Inferences From Backtest Results Are False Until Proven True

The validity of any backtest results should not be assumed no matter how credible their source appears to be. There are many factors that can contribute to incorrect backtest results, especially in the case of more complex strategies, such as … Continue reading

Posted in Quantitative trading, Trading Strategies | Tagged , , , | Leave a comment

Forward Performance Of Two Machine-Designed Trading Algos

Last April I wrote an article where I introduced a strict validation method for machine-designed trading algos. This article includes  the forward performance of the trading algo in that article, as well as, of another algo that was machine-designed in … Continue reading

Posted in Quantitative trading, Strategy Synthesis, Trading Strategies | Tagged , , , , , | Leave a comment