Tag Archives: trend following

Mean Reversion Is Your Friend

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

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Year-To- Date SPY Absolute Price Series Momentum Performance

Absolute price series momentum woes in the equity markets continue this year. Only one of the four models considered shows positive performance in SPY.

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Price Series Momentum Woes Persist

In an article last October I included results for year-to-date performance of four popular price series momentum strategies trading SPY.  Since then, performance has gotten a lot worse as the updated results show.

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Absolute and Relative Momentum Failed in 2015

Both absolute and relative momentum strategies generated losses in 2015 while naive allocation schemes succeeded in preserving capital. In this article, I provide examples for a portfolio of two ETFs allocating to stocks and bonds.

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Stock Market Trend-following Woes

The golden cross in S&P 500 from last month has just failed after another failed death-cross from October. Stock market trend followers are accumulating losses after a 4-year uptrend. A number of funds have already shut down operations.

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What Is A Quant Trader?

Quant trading is in fashion nowadays. This article may help you in separating the wheat from the chaff.

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The Case For A Multi-Year Range-Bound Stock Market

There are at least five factors that combined may create conditions for multi-year range-bound action in the U.S. stock market: Higher market efficiency, proliferation of ETFs, a crowded momentum trade, high frequency trading and the end of stimulus. Momentum traders … Continue reading

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Momentum: A Crowded Trade

Interest rate uncertainty had little to do with the flat performance of the S&P 500 year-to-date. The main cause of a directionless market is a crowded momentum trade due to hype about the potential success of these simplistic strategies.

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