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  • A Significant Regime Change February 2, 2023

    Gains in the US stock market from regular trading hours since January 2022 turned positive while there are still significant losses from overnight changes. A regime change has occurred. In an article last month, I argued that the overnight effect is ...

  • Access to Premium Articles on Trend-Following January 29, 2023

    A new subscription to Price Action Lab Blog is available for premium articles on trend-following. With a Trend-Following subscription, premium subscribers can access 17 articles on trend-following. Two of the articles include strategy rules: a trend-following strategy for small-cap stocks and ...

  • Trend-Following CTA Replication With A Strategy Trading a Single Asset January 27, 2023

    A strategy in the monthly timeframe trading only one asset has tracked CTA trend-following performance in the last 23 years.

  • Trend-Following Parameter and Optimization Space January 26, 2023

    Trend-following parameter space is large and can result in excessive over-fitting in backtests, depending on the complexity of the strategy. This article is an introduction to this complex subject.

  • Price Action Anomaly Detection Time Lags January 24, 2023

    The best anomaly detection signals have zero maximum adverse excursion but they are rare. There is often a lag before the signal starts generating a profit. The Maximum Adverse Excursion (developed by John Sweeney), or MAE, is the maximum loss generated ...

  • Say Goodbye to Strategic Allocations January 20, 2023

    The constant search for strategic allocations with optimal exposure to markets is a process indistinguishable from market timing and suffers from its biases. Asset allocators constantly search for the best mix of assets for diversification that offers a desirable Sharpe ratio. ...

  • Trading Strategies Evolve Towards Chaos January 16, 2023

    Trading strategies evolve towards chaotic performance if no improvements are made that are compatible with changes in market regime and microstructure. The financial markets are highly non-linear dynamic stochastic processes. These types of random processes usually have many hidden modes, and ...

  • The Overnight Effect Is Fading Away January 12, 2023

    The overnight effect in US large caps is fading away after the publicity it received in the last three years and the issuance of ETFs to take advantage of it. Updated: January 31, 2023. There are numerous articles in this blog ...

  • Managed Futures Vs. Stocks In 2022: Time to Celebrate? January 10, 2023

    In 2022, stocks (S&P 500 total return) fell 18.3% but managed futures (SG CTA Index) gained 19.3%. Managed futures celebrations are understandable after a long period of underperformance. Equity markets have also suffered from wide swings in the past.

  • Minimum Win Rate For Trend-Following Profitability January 9, 2023

    The win rate of a trend-following strategy is related to the probability of uncle point or ruin. A high win rate helps to avoid an uncle point or even ruin. However, during adverse market conditions, the win rate can fall ...