Tag Archives: quantitative trading

DLPAL Software: What You Can Do With It

There are three versions of DLPAL software: DLPAL S, DLPAL DQ and DLPAL LS. Below is a brief account of what you can do with the three different versions of DLPAL

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Institutional Grade Mean-Reversion Strategy For S&P 100 Stocks

The institutional grade mean-reversion strategy trades the S&P 100 stocks in short-term long-only mode. Backtests show that the strategy has had robust performance, especially during major stock market corrections and it has outperformed the S&P 500 total return by a … Continue reading

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Hedge Funds’ Secrets

Articles in mainstream media constantly praise the returns of some hedge funds and attribute them to quantitative trading. But can quantitative models extract billions of dollars worth of alpha from noisy data? Is it possible that these hedge funds have … Continue reading

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Procedure For Generating And Validating Price Action Lab Scan Results

Price Action Lab can identify patterns in price series that have the potential of being true anomalies. In this article, I outline the steps followed for the identification of potential anomalies in daily data. Validation methods involve increasing the sample … Continue reading

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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

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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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