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  • Dynamic Momentum Signals January 23, 2024

    We are excited to announce the launch of our new service, Dynamic Momentum Signals. The Dynamic Momentum Strategy (DYNMOM) is a proprietary timing algorithm that trades the SPY ETF. Its objective is to maximize the Sharpe ratio and avoid market corrections. ...

  • An ETF That Has Outperformed Its Index January 20, 2024

    Since 2022, the Invesco DB US Dollar Index Bullish ETF (UUP) has been up 16%, while the underlying index has been up only 8%. T-Bills are the reason for this wide outperformance. I will start by noting that since 2022, gold ...

  • Fund Performance, Investor Returns, and Irrational Market Participants January 17, 2024

    There are divergences between the historical performance of hedge funds and commodity trading advisors and customer performance, especially in the case of retail investing. Irrational market participants cause extreme volatility. Realizing the benefits of the long-term performance of a hedge fund ...

  • Trend-Following CTA Replication With a Strategy Trading a Single Asset January 16, 2024

    A strategy trading only one asset in the monthly timeframe has outperformed the SG CTA Index in the last 24 years. Read the article with a Trend-Following subscription.

  • Mean-Reversion and Momentum Regime Switching January 12, 2024

    This article describes an ETF trading strategy with mean-reversion and momentum regime switching. The Sharpe ratio of the strategy is greater than 1.

  • PSI5 Mean-Reversion Performance Update For 2023 January 11, 2024

    This article provides an update on the performance of the PSI5 strategy applied in convergent (mean-reversion) mode to SPY, QQQ ETFs, and Dow 30 stocks. Long-term performance results are also included, from the inception of the ETFs and since 1993 ...

  • The Many Variants of the 60/40 Portfolio January 5, 2024

    The 60/40 portfolio has many variants depending on the choice of stock and bond allocations. In this article, we look at 10 variants of this popular strategic allocation. This article includes an analysis of 10 variants of the 60/40 portfolio. We ...

  • Most Retail Traders Are After Lottery Tickets January 3, 2024

    Most retail traders are after lottery tickets instead of following strategies and having a disciplined approach to markets. This is the disadvantage of retail and provides an edge to institutional systematic trading. Despite many good books on the subject of trading ...

  • Challenging Two Years For Stocks, the Narratives, and the Rise of AI December 29, 2023

    Despite the hype in the financial mainstream and social media, the US stock market had its worst two-year period in 78 years when considering years with gains and the two-year performance.  Artificial intelligence is causing a regime change. Although stocks, especially ...

  • Useful Stock Market Predictions December 26, 2023

    Stock market predictions for gains in the coming year are not very useful because the odds of the stock market gaining in a given year are already high. Summary: Most stock market analysts forecast gains for the next year, especially after ...