Tag Archives: trend following

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.

Posted in Trend following | Tagged , , | Leave a comment

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.

Posted in Trend following | Tagged , | Leave a comment

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.

Posted in Asset Allocation, Trend following | Tagged , , | Leave a comment

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.

Posted in Trend following | Tagged , , , | Leave a comment

What Is A Quant Trader?

Quant trading is in fashion nowadays. This article may help you in separating the wheat from the chaff.

Posted in Quantitative trading | Tagged , , , , , , | Leave a comment

The Case For A Multi-Year Range-Bound Stock Market

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

Posted in Economic Analysis, Market Statistics, Technical Analysis, Trend following | Tagged , , , | Leave a comment

Momentum: A Crowded Trade

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.

Posted in Asset Allocation, Trend following | Tagged , , | Leave a comment

Long-Term Backtests Can Be Misleading

Authors of popular books and blog articles often present long backtests of certain strategies that exhibit superb risk-adjusted performance. It is important to realize that it is highly possible that these superb results are due to market conditions that may … Continue reading

Posted in Asset Allocation, Trading Strategies, Trend following | Tagged , , , , | 3 Comments