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There is noise on social media about a +45,000% return in Amazon stock since IPO. That number is an illusion. Only speculators would have held stock with the drawdown profile shown below. I suspect more investors lost money in this ...

We compare the performances of Golden Butterfly and Price Action Lab Diversified Portfolio strategic allocations

The objective of this article is to remind that machine learning is not just science, it is also art. I use as an example the Numerai global artificial intelligence tournament to show that more than half of data science results ...

Price Action lab has joined the Quantopian contest with a strategy developed by our software. The newly developed capability of code generation for the Quantopian platform was used to implement the strategy. Quantopian provides capital, data, a research environment, and a ...

We are pleased to announce that Price Action Lab has developed automatic code generation capability for the Quantopian platform.  This new capability will allow our software users to join the Quantopian community and take advantage of the features of this ...

Price Action Lab was designed to work with price data but it can also be used to discover volume and indicator patterns. In this article we offer examples of how to use the program to discover volume and RSI patterns. The ...

System Parameter Permutation and its recent variant, System Parameter Randomization, called SPx, are methods of evaluating trading strategies that I mention in my paper “Limitations of Quantitative Claims About Trading Strategy Evaluation.” In this article I respond to comments I ...

Permabears complain constantly in social media that this is the longest bull market in stocks for over six years. This is a way of justifying their wishful thinking. When did the bull market really begin? Let us think about it. Let ...

My paper, “Limitations of Quantitative Claims About Trading Strategy Evaluation”, is now available for download at SSRN. More details below. The main idea in the paper is that while the quantitative evaluation of trading strategies is useful, especially in raising awareness ...

We compare the out-of-sample performance of two predictors of price based on the close and open of daily data. We find that for the deterministic data-mining process used in the in-sample and for the markets tested, the out-of-sample performance of ...