Subscribe by email
- Data-mining And Validating Thousands Of Potential Price…
- Deterministic Machine Design of Trading Systems With Strict…
- Quant Trading Without Neural Networks or Genetic Algorithms
- Fooled by Randomness Through Selection Bias
- The Most Important Performance Measure of Trading Strategies
- Identifying High Probability Short-term Patterns
- Fooled by Machine Learning Applied to Trading Algo…
- Asset Allocation (17)
- Economic Analysis (81)
- ETF Analysis (526)
- Folklore (14)
- Forex trading (8)
- Market Statistics (304)
- Premium Content (374)
- Price Action Lab Alerts (133)
- Price Action Lab Patterns (157)
- Quantitative trading (115)
- Risk Management (47)
- Technical Analysis (581)
- Trading System Analysis (87)
- Trading System Design (92)
- Trading System Synthesis (86)
- Trend following (58)
- Uncategorized (18)
- Warnings (10)
Copyright Notice© 2016 Michael Harris. All Rights Reserved. We grant a revocable permission to create a hyperlink to this blog subject to certain Terms and Conditions. Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this blog is strictly prohibited without prior written permission.
Tag Archives: trend following
Absolute price series momentum woes in the equity markets continue this year. Only one of the four models considered shows positive performance in SPY.
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.
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.
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.
Quant trading is in fashion nowadays. This article may help you in separating the wheat from the chaff.
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
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.