Tag Archives: serial correlation
According to a Bloomberg article, the rare S&P 500 total return 12-month winning streak can be attributed to positive serial correlation. However, monthly returns appear to have negative serial correlation, i.e., they are mean-reverting.
After reading recent articles in financial and social media, one may get the impression that prolonged overbought conditions in the stock market are a recent phenomenon, usually attributed to central bank manipulation and herd behavior. These are false impressions according to … Continue reading
The popular rule “the trend is your friend” worked well in the past but during this year it has been challenged by erratic price action and swings. This could be a temporary phenomenon and momentum traders are not ready to … Continue reading
Arguments in support of trend-following usually rest on performance achieved by the CTA group in the 1990s. Recent performance of this group has deteriorated due to changes in market dynamics. Trend-following of equity indexes has performed better recently due to … 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