Tag Archives: trend following

Trends And Trend-Following Are Not The Same Thing

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

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CTA Woes Continue in 2016

CTAs have been unable to profit this year according to official sources, adding to a long streak of disappointing returns in recent years. This is despite some notable downtrends in bonds, gold, commodities and currencies this year. Based on statistical … Continue reading

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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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