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  • Performance of Strategy Bundle-July 12, 2023 July 13, 2023

    Here is the long-term and year-to-date performance of the five trading strategies included in a bundle. There are seven strategies in the bundle, five main and two that are offered as a bonus. Strategy Description Markets Price MRETF Mean-reversion/breakouts Long-only SPY, QQQ, TLT Bundle MRETFLS Mean-reversion/breakouts Long-short SPY, QQQ, TLT Bundle B2S2 Mean-reversion Long-only Dow 30 ...

  • The Worst Post-War Periods In The US Stock Market July 11, 2023

    There have been two post-war periods in the US stock market with sideways action for about twelve and a half years and large drawdowns from all-time highs. Is another such period possible? The two worst post-war periods in the US stock ...

  • Trading Strategy For Russell 3000 Stocks July 6, 2023

    This is a simple strategy for trading Russell 3000 stocks short-only. The strategy has a high Sharpe ratio. Update: This article was updated on December 29, 2023. For all backtests in this article, we used Norgate data for the Russell 3000 index, ...

  • AI ETFs Have Underperformed So Far July 3, 2023

    Artificial Intelligence (AI) ETFs have underperformed so far as compared to large-cap and tech stocks. The performance since inception has been disappointing, and the drawdowns from all-time highs have been large. Below is a list of seven AI ETFs showing the ...

  • Optimum Asset Allocation Weights Depend on Past Data June 28, 2023

    Whether the allocation is strategic or tactical, the optimal weights of the assets depend on past data. Optimality breaks down when there are regime changes. Optimal asset allocation depends on several factors besides the obvious one, which is the choice of ...

  • Extreme Overbought-Oversold Conditions Might Be A Top Cause of Trader Ruin June 22, 2023

    Extreme overbought and oversold conditions might be one of the top causes of technical trader failures. All technical indicators have good and bad aspects. It is often hard for traders to benefit from the good aspects and easy to get ruined ...

  • A Slow Recovery For the 60-40 Portfolio June 19, 2023

    The recovery of the 60/40 portfolio has been slow and even painful. We include performance results for three different portfolios. As far back as June 2017, I warned the readers and subscribers of this blog about the high correlation of the ...

  • Mean-Reversion Strategy For SPY and QQQ ETFs June 15, 2023

    The long-only mean-reversion strategy for trading SPY and QQQ is based on two popular indicators.

  • No Bull Market Yet June 14, 2023

    There is no bull market yet, and mainstream media announcements are premature. I propose a more robust metric for deciding when a new bull market starts after a correction. The mainstream financial media rushed last week to announce a new bull ...

  • PSI5 Trend-Following Performance Update-June 9, 2023 June 13, 2023

    This article provides an update on the performance of the PSI5 strategy applied in divergent (trend-following) mode to 23 futures contracts in the daily and weekly timeframes. TheĀ PSI5 algo is not data-mined but based on a formula that models price action ...