Tag Archives: trend following

Fooled by Monte Carlo Analysis

Simple Monte Carlo analysis tools are often used to assess the risks of trading systems and to determine appropriate capitalization levels. However, simple trade reshuffling algorithms can produce misleading results in many cases and fool their users. Share

Posted in ETF Analysis | Tagged , , | Comments Off on Fooled by Monte Carlo Analysis

Another Long Uptrend in Stocks is Unlikely to Occur in the Near Future

The last golden cross in S&P 500 occurred on January 31, 2012. The 50-dma has stayed above the 200-dma for 774 days, or more than three years. It will probably take a while to have another golden cross that lasts … Continue reading

Posted in Market Statistics, Trend following | Tagged , , | Comments Off on Another Long Uptrend in Stocks is Unlikely to Occur in the Near Future

Why Every Trader Should Know and Understand This Formula

There is a formula that every trader should know and understand. It relates the win fraction to the profit factor and payoff ratio. An understanding of this formula can provide useful guidance about the risks  in different trading timeframes. Share

Posted in Quantitative trading | Tagged , , | Comments Off on Why Every Trader Should Know and Understand This Formula

A Trend-follower’s Nightmare

Hindsight is a trader’s worst enemy because there is no guarantee that the future will be like the past. Yet, many books and articles promote trend-following based on hindsight. This blog offers an example of how a trend-follower’s worst nightmare … Continue reading

Posted in Quantitative trading, Trend following | Tagged , | Comments Off on A Trend-follower’s Nightmare

Social Media Woes and the Risks of Trend-following

Trend-followers in social media stocks and ETFs that did not apply prudent risk and money management schemes are risking going into the red. The dynamics of the uptrend and of the decline that followed did not leave any room for naive trend-following … Continue reading

Posted in Trend following | Tagged , | Comments Off on Social Media Woes and the Risks of Trend-following

The Passive Indexing Buy and Hold Crowd Should Reconsider

They should reconsider their unreasonable stand against active management after taking a closer look at the enclosed chart. In my opinion, 15 trades in 13.5 years are not such a big deal for the type of dramatic improvement in returns. … Continue reading

Posted in ETF Analysis, Trading System Analysis, Trend following | Tagged , , | Leave a comment