- Announcing the Release of My New Book August 31, 2015
I am pleased to announce the release of my new book Fooled by Technical Analysis: The perils of charting, backtesting and data-mining. Publisher: Michael Harris Date: September 1, 2015 Language: English 270+ pages (6″ x 9″ trim) 74 high quality charts Available online only Table of Contents I ...
- Projections of Closing Prices Required for Moving Averages to Cross August 27, 2015
The calculation of the closing price required for a moving average crossover to occur is straightforward as shown in this article.
- Momersion Indicator August 13, 2015
I introduced the notion of momersion in a recent article. In this article I present an indicator of momersion along with simple code for Amibroker.
- Adjusted Vs. Unadjusted Data August 9, 2015
Yes, this is a heated subject but I hope that the example from recent SPY data will convince you that there is no easy answer. The other day I wrote an article to demonstrate that traders often attribute timing ability to ...
- Perils of Asset Allocation Models July 20, 2015
Asset allocation models based on moving averages are usually sold on the basis of historical outperformance of the S&P 500 total return at reduced risk.
- Selection Bias and Momentum Strategies July 16, 2015
Momentum strategies are popular because they are supposed to generate excess alpha at lower risk. However, as in the case with traditional trading strategies, momentum represents just another method that must be tested for significance and, more importantly, for intelligence ...
- Are Historical Data Prior to 2009 Obsolete for Developing Trading Systems? July 7, 2015
I investigate the validity of claims that data prior to 2009 are obsolete for the purpose of trading system development. It is shown that a high proportion of profitable price patterns in more recent daily data maintain their profitability in past data. ...
- Switching From Stocks to Bonds Based on a 200-day Moving Average Crossover July 1, 2015
I offer analysis in this blog motivated by a reply to a tweet I made yesterday regarding the essence of the 200-day moving average. I show that the choice of a 200-day moving average for the purpose of stock-bond allocation is sub-optimal. ...
- When Random Traders Profit, It is Hard to Prove Skill June 29, 2015
It is shown that random, long-only position trading in SPY based on a biased coin has resulted in 100% winners. The simulation results also confirm that proving trading skill requires returns in excess of buy and hold return.
- Developing Trading Systems Based on a Large Number of Price Patterns June 17, 2015
Suppose that you have a large number of price patterns that you have tested and decided to trade. How do you develop a trading system based on them? Apparently, there are many ways of doing this that offer increased flexibility ...
