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  • Permabears And Permabulls Are Two Extremes May 22, 2024

    Permabears never disappear; they are always active, even when momentum is strong and the market is at all-time highs. But the behavior of permabulls is interesting, to say the least. I am convinced that being a permabear is not so much ...

  • Trend-Following and Mean-Reversion are Complementary May 18, 2024

    Marketing frequently serves as the driving force behind efforts to promote one trading style over another. Mean reversion and trend following are complementary trading styles, and choosing one over the other is a false dichotomy. Trend-following gets rid of losing trades ...

  • 9 Trading Strategies Plus a Free Bonus May 17, 2024

    We offer nine end-of-day trading strategies for all seasons: mean-reversion, trend-following, seasonality, and volatility. A free bonus strategy is included. The list of strategies can be found here. Below are backtests of the nine strategies. The last date for the backtests ...

  • Macro Analysis and Capital Markets May 14, 2024

    The macroeconomic analysis of capital markets has limited effectiveness, except for commodity trends, where there is reasonably good potential. Investors could be better off following simple technical indicators when the objective is to minimize pain during bear markets. Macroeconomic analysis is ...

  • Artificial Intelligence and Finance Misconceptions May 9, 2024

    Since the current version of artificial intelligence is based on training on content published over the years, it is only natural that the misconceptions in finance will compound. The fact that marketing professionals have produced the majority of content is one ...

  • Daily Futures Trend-Following Signals April 29, 2024

    On our blog, we have a new page with daily futures trend-following signal updates. Access to this page is currently free. We use continuous, back-adjusted data for 23 futures contracts. The trend-following strategy is based on our proprietary PSI5 algorithm in ...

  • ARKK’s Problem Was Outperformance April 24, 2024

    In hindsight, as the data reveal, the management of ARKK ETF did not use volatility targeting but instead was satisfied with a remarkable outperformance in 2022.  Due to recency bias, investors always focus on recent underperformance and forget past outperformance. I ...

  • Leveraged ETF Seasonality Strategy April 23, 2024

    Since 2002, this ETF seasonality strategy has had no losing years in backtests. We also include backtests from 1990 that use the same underlying index that the ETF tracks. The article was updated on April 23, 2024, with a long-short version ...

  • Correlations Are Random, Especially In The Markets April 17, 2024

    There is an obsession with uncorrelated returns in finance literature, but they make sense only if they improve total returns. More importantly, correlations in markets are random variables. Usually, uncorrelated returns improve risk-adjusted performance, but wealth growth depends on total ...

  • Avoiding Superoptimists Should Be Part Of Risk Control April 12, 2024

    I made a mistake this week because I thought two superoptimists were better than one. But this is false because superoptimism is a behavioral bias at the left tail of the cognitive bias distribution and should be avoided not only ...