Tag Archives: win rate
Maintaining a constant profit factor while lowering the payoff ratio requires a strategy with higher win rate. In general, high win rate strategies are more difficult to develop but when combined with lower payoff ratio usually perform better during times … Continue reading
The downtrend in stocks due to the financial crisis is a good example of a situation where a large correction occurs while the proportion of winning days stays high. This can offer bulls a wrong impression of a pending reversal … Continue reading
The rolling expectation, expectancy and win rate of SPY reveal interesting facts about the dynamics of the stock market.
The BlueTrend fund returned 45.78% in 2008, in a year that the S&P 500 index fell 37% on a total return basis. However, in recent years the performance of the fund has deteriorated. I first present an analysis of the … Continue reading
It is a fact that the S&P 500 hasn’t had a -2% drop in the last 68 days but it also hasn’t had a 2% rise for 193 days. The market has given bears plenty of room to escape.