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A blogger has attacked my recent article on trend-following. Below is my defense. This particular blogger, among other things, attacked the use of the Barclay CTA index as inappropriate while at the same time he tried to rebut my claims by using ...

The overnight trading anomaly in SPY is well-known to many traders. In this article, this anomaly is backtested in R and I also make some general comments about backtesting in that language. A few days ago, Ilya Kipnis and I had ...

The momersion indicator was implemented by three quants. I provide links to their blogs that include interesting analysis and code for the indicator. The momersion indicator was presented in this blog. Below are links to implementations by three quant traders. R implementation ...

Hypothesis tests based on one-sample t-tests and on bootstraps can be misleading, especially when returns are generated by an over-fitted trading strategy designed via machine learning and multiple comparisons.

Hypothesis testing is often a naive way of assessing the significance of trading strategies because results are conditioned on historical data and can be plagued by multiple comparisons.

Jim Simons expressed his views about trend-following during a TED interview. Revised February 21, 2019. During a Ted interview, Jim Simons showed a commodity chart and talked about how in the past traders were able to use 20 days of prices (and their ...

I have decided to publish my fourth book in the form of protected web pages accessed via a subscription. I hope that more quant traders will follow this route. I offer a few explanations below for my decision based on my ...

Trading and investing based on probabilities are fraught with many difficulties. Most of the difficulties arise from the very nature of probability. Article updated on July 29, 2020.

There is an ongoing debate in some trading forums about whether trend-followers make forecasts. The debate started after in an interview, Michael Covel, who is an author, claimed that trend-followers do not make predictions.

One would think that by backtesting more ideas and more frequently, the chances of discovering an edge increase. However, the opposite happens, and the chances of discovering something of value diminish with frequent backtesting. If you believe this is counterintuitive, you ...