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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 ...

Some traders are puzzled when both the VIX index and the SPY ETF end with the same return sign for a day, but that is nothing unusual and a frequent occurrence. Days with the same sign for the VIX index and ...

The short-term trend-following trading strategy for futures described in this article makes use of features generated by machine learning in the weekly timeframe. Most developers of long-short strategies use standard machine learning algos and common features. We use machine learning to ...

It may be “transitory”, but CTA replication is not working well this year. As shown below, year-to-date (June 1, 2023), the SG Trend and CTA indexes are down 1.88% and 1.48%, respectively, but the DBMF ETF is down 8.1%. The spread between ...

We consider a basic strategic allocation and apply timing and leverage. The result is a dynamic tactical allocation that can generate high-leveraged alpha at relatively low risk. 

We constantly read on social media or listen to podcasts about financial media celebrities’ market calls, but they rarely provide any updates. “The stock market will fall.” “I am long gold.” “I am short the US dollar.” “Commodities will rise.” “Buy bonds, short energy.” The list ...

In this article, we analyze the impact of dynamic stops on the performance of a  trend-following strategy with futures contracts. Our backtests did not find any significant performance improvement. 

While quant traders and some evidence-based investors understand the methods and statistics used, marketing erodes their meaning by transforming them into elements used in narratives. Marketing often uses terminology from statistics and strategy development to create artificial images to attack and ...

The classic trend-following with breakouts has not worked well with major forex pairs after 2015, although it has offered an exceptionally high skew. We backtested the classic trend-following strategy involving one entry, one exit, and a stop-loss, with seven major currency ...

There is excitement in the financial community that GPT will offer a trading or investing edge. Nothing can be further from the truth. Advanced information processing tools increase market efficiency and decrease the significance of any edges for investing and trading. ...