- Procedure For Generating And Validating Price Action Lab Scan Results February 17, 2016
Price Action Lab can identify patterns in price series that have the potential of being true anomalies. In this article, I outline the steps followed for the identification of potential anomalies in daily data. Validation methods involve increasing the sample ...
- Descriptive Vs. Predictive Technical Analysis February 12, 2016
Technical Analysis (TA) becomes even more popular during times of market turmoil. I find value in both descriptive and predictive TA but both are of little help in forecasting the next market move. For that you may be better off ...
- Strategies With High Win Rate And Lower Payoff Ratio February 5, 2016
Maintaining a constant profit factor while lowering the payoff ratio requires a strategy with higher win rate. In general, high win rate strategies are more difficult to develop but when combined with lower payoff ratio usually perform better during times ...
- The Transition From Strategic To Tactical Asset Allocation January 31, 2016
Most investors avoid forecasting (timing) methods because of the theoretical and practical difficulties that are associated with the transition from strategic to tactical asset allocation.
- What Is A Quant Trader? January 5, 2016
Quant trading is in fashion nowadays. This article may help you in separating the wheat from the chaff.
- Backtesting Conundrum November 27, 2015
About a week ago I ran into a backtesting conundrum while analyzing a simple relative strength ETF rotation strategy. A call to quants to compare results received only one answer but the cooperation led to a solution and to a ...
- Technical Analysis Has Contributed To A Massive Wealth Redistribution November 25, 2015
Classical technical analysis has contributed to the largest non-violent wealth redistribution in the history of mankind. Modern technical analysis is not doing any better. The massive wealth redistribution that was caused by the use of technical analysis from retail traders to ...
- Inferences From Backtest Results Are False Until Proven True November 22, 2015
The validity of any backtest results should not be assumed no matter how credible their source appears to be.
- The Charlatan Narrative November 18, 2015
Some charlatans pose as fundamental, technical, or even quant analysts. A frequent narrative these charlatans use involves a rise in stocks, and they justify it with some trivial analysis. Instead, they should be telling us when the market will fall, ...
- Evidence Based Analysis: CTA Underperformance November 14, 2015
I present evidence of the underperformance of the CTA group in the last 10 years and statistical analysis to rebut claims that the performance of a group of top 20 CTAs is more representative of this group’s performance. Below are yearly ...
