Tag Archives: trend following

A Below Average Correction in Stocks Based on Duration

Based on daily S&P 500 data since 1950, price and the 50-day moving average have stayed below the 200-day moving average for an average period of 84 and 144 days, respectively. At this stage of the correction,¬†price and the 50-day … Continue reading

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Ruined by Hypothesis Testing

Hypothesis testing is often a naive way of assessing the significance of trading strategies because results are conditioned on historical data and can be plagued by multiple comparisons. This is the story of Don, an ambitious fund manager who got … Continue reading

Posted in Trading System Design, Trading System Synthesis, Trend following | Tagged , , | 11 Comments

Sorry Bob But Jim Simons is Probably Laughing At Your T-Statistics

I avoid to attack fellow bloggers when I think they are wrong and I have never written that this or that person is wrong or, for example, that he knows no statistics. All people make mistakes, especially in a hard … Continue reading

Posted in Quantitative trading, Trend following | Tagged , , , | 9 Comments

Jim Simons is Correct About Trend-Following

Claims about trading made by Jim Simons do not need support because his success guarantees their truth. In this blog I include evidence that was not explicitly presented in a recent TED interview of Jim Simons, where he said that … Continue reading

Posted in Technical Analysis, Trend following | Tagged , , , , | 19 Comments

The Coming Hedge Fund Crisis

There is high probability of a hedge fund crisis of the same proportions as the savings and loans crisis of the 1980s and 1990s, during which many thrifts went insolvent. The change in market dynamic may play a significant role … Continue reading

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Trend Followers Make Forecasts

There is an ongoing debate in some trading forums about whether trend-followers make forecasts. The debate started after in an interview, Michael Covel, who is an author, claimed that trend-followers do not make predictions. The debate intensified recently after Jim … Continue reading

Posted in Trend following | Tagged , , | 8 Comments

It Could Have Been Much Worse

Equity fund managers should not complain because this correction could have been much worse. Although since the crash of 1987, the average change from a 250-day high to a 50/200 death cross is larger on the average, this time around … Continue reading

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A Possible Revenge of the Efficient Market Hypothesis

A virtually flat S&P 500 for 133 days this year may be an indication that the efficient market hypothesis is taking its revenge. Share

Posted in Asset Allocation, Risk Management, Trend following | Tagged , , | 4 Comments