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Tag Archives: SPY
We use the ensemble feature generation of DLPL PRO with weekly data of Dow-30 stocks to forecast weekly returns. The strategy based on the ensemble features has less drawdown but the same MAR ratio as buy and hold.
In a previous article we discussed two different ways of trading multiple mean-reversion strategies. In this article we consider more options based on the number of concurrent signals generated by the strategies.
The QuantShares U.S. Market Neutral Momentum Fund (MOM) has significantly underperformed its underline index in the last six years. Below are details and a performance comparison to similar strategies based on the S&P 500 stock universe.
I pay little attention to common divergences everyone can spot on charts. I am more interested in rare price action events. With edges evaporating at an exponential rate nowadays, anything that is unusual may offer some new idea to a … Continue reading
It is an empirical fact that trends develop in financial price series. But it is also an empirical fact that in recent years profiting from trends has not been easy. People with skin-in-the-game know that trends and trend-following are not … Continue reading
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
Price action in S&P 500 since the November elections indicates that mean-reversion is still persisting in this smoothly uptrending market.
Six months are not responsible for all gains in stock market since 2000. This conclusion in some articles was based on the wrong choice of returns. The correct number is about 32.