Tag Archives: 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

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Expect More High-Tech Competition

Due to a crowding effect in HFT domain and a continuous decrease in profitability a lot of those firms are now moving to momentum, swing and trend-following domains in an effort to recoup their initial investment. Thus, retail traders and … Continue reading

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Adaptive Trend-Following Performance

This is a report of the performance of TFadapt, a trend-following system that adapts to changing market conditions, on historical data of 8 different international indices since the start of 1990. The outstanding and statistically significant performance of this system  in SPY … Continue reading

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Adaptive Trend-following Using the Randomness Index Indicator

The Randomness Index was introduced yesterday in another post. The value of this indicator is calculated for any set period using the closing prices. Under normal conditions the indicator swings between +100 and -100 although values beyond those extremes are also possible. Values between +10 … Continue reading

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Market Randomness Indicator

I have been looking for an indicator of market randomness for a long time and I believe I have now found a reliable one based on extensive backtesting results. The indicator shows when market activity is random and also when non-random … Continue reading

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The Golden Cross Trading System Lacks Intelligence

One of the main reasons I abandoned trend-following in the mid 1990s was the fact that I was not able to find a system for which the null hypothesis that it possessed no intelligence in pairing raw market returns with its signals could be rejected. … Continue reading

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The Four Market Shocks

In the last 63 years there have been four major shocks after which volatility increased substantially. The last shock due to the financial crisis caused a volatility increase to new highs marking an alarming trend for the future. The increased volatility and … Continue reading

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The Probability of a Market Correction Has Increased

Each day the uptrend that was signaled in SPY by the 50-200 SMA cross on January 23, 2012, continues the probability of a correction is getting higher. Actually, the average trend duration of the two previous uptrends of the same cross was … Continue reading

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