Tag Archives: SPY
Many financial advisers think that European stocks will outperform U.S. stocks. Evidently, they are talking about a forex bet.
Despite new all-time highs and a rally in technology stocks, S&P 500 and NASDAQ 10-year rolling returns remain below their longer-term averages. In fact, in the last four years the 10-year rolling return is range bound in spite of interventions … Continue reading
This is an example of a strategy for trading GLD in the daily timeframe developed by DLPAL S. The results are validated in TLT and SPY.
The recent stock market volatility crash has affected trading strategy idle time, or the time associated with waiting for trading signals. We show that despite low volatility recent idle times of our four mean-reversion strategies are within normal bounds.
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.