Tag Archives: momentum

Where Do Trend-Following Profits Come From?

Before elevating trend-following and momentum in general to the status of a factor, this question must be answered: where do trend-following profits come from? Obviously, part of momentum literature ignores this important question.

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Long-Only Equity Strategy Benchmark

The performance of this strategy can serve as a benchmark for long-only equity strategy development.

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Warning Signs To Help You Avoid Naive Quants

How can one distinguish between someone who is actually playing with a backtesting program and a competent quant? There are a few warning signs.

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Momentum Exuberance In Dow Industrials A Warning Sign

The RSI(14) of DIA ETF has stayed above 70 for 25 days, the longest such period since its inception. The previous longest period was 20 days and was completed before the stock market entered its longest consolidation in last 66 … Continue reading

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Dow Jones Industrial Average Longest Overbought Period In 31 Years

The Dow Jones Industrial Average has stayed overbought for 21 days, which is the longest period this technical condition has persisted in 31 years. As the analysis below shows, the index has moved higher in the following 60 days with … Continue reading

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