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Strategies fail when market regimes change. I include in this article an example of a popular trading strategy for trading NASDAQ-100 stocks with excellent backtest performance for 26 years before crashing. Trading NASDAQ-100 stocks with monthly rebalancing was a popular strategy ...

The DLPAL software bundle offer will end on August 15, 2023. With this offer, you can try all three versions of DLPAL for nine months to determine whether they suit your trading needs and objectives. This offer is valid for ...

There was an analysis of a rival of DBMF ETF in this blog on March 2, 2019, and before the inception of the managed futures replication ETF. In this article, we compare the performance of the two ETFs and also ...

The Sharpe ratio is probably the most important metric for evaluating trading strategy performance. This article is based on a recent X (Twitter) thread by this author. I noticed in the replies that some questioned the use of the Sharpe ratio ...

I extend the impossible trilemma concept from economics to trend-following: It is impossible to have a high annualized return, a high win rate, and a low drawdown at the same time. I call this trend-following Trilemma (© Price Action Lab ...

Bitcoin delivered spectacular returns during its early days, when prices were low. Any hopes of similar returns in the future underestimate how unrealistic prices must become. Bitcoin speculation is on a path of diminishing returns. Spectacular annual returns were realized during ...

A positive skew of strategies does not guarantee anything, and it can even be undesirable under specific market regimes. As I have written before, marketing has taken a few statistical notions and mixed them into narratives in support of certain financial ...

I show in the article that it does not matter whether returns or first differences are used when calculating correlations. The general perception is that when calculating Pearson’s correlation, one must use returns rather than first differences. Some quants also argue ...

Growth stocks have surged year to date, while momentum and value stocks are lagging with significant underperformance. Our long-short factor rotation strategy is slightly down year-to-date. After plunging last year, growth stocks are the stellar performers year-to-date, while momentum and value ...

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 ...