- The Stock Market Trend is Still Strong According to Kelly Leverage June 3, 2015
Optimal leverage for continuous rebalancing of a passive SPY tracking strategy is still above its longer-term mean and far from trend reversal trigger levels.
- Profiting From the Losers May 18, 2015
Trading system developers usually look for profitable algos that stay profitable but one could instead look for profitable algos that have high probability of turning unprofitable and then trade against them during a period of mean-reversion. Instead of trying to identify ...
- Fooled By Monte Carlo Analysis May 13, 2015
Simple Monte Carlo analysis tools are often used to assess the risks of trading strategies and to determine appropriate capitalization levels. However, simple trade reshuffling algorithms can produce misleading results in many cases and fool their users. There are several Monte ...
- Whether Bonds and Stocks are Correlated Depends on the Timeframe May 6, 2015
In the short-term stocks and bonds have again turned anti-correlated after a period of positive correlation, in the medium-term they show no correlation and in the longer-term they are anti-correlated. Correlation depends on timeframe. This is nothing new: correlation, such as ...
- How I Beat the Market Over the Past Six Months April 26, 2015
This is a brief account of how I managed to beat the S&P 500 buy-and-hold return over the past six months, the mistakes I made and why I will not do it again this way. Last year I started a daily ...
- Fooled by Structural Upward Bias April 24, 2015
Some quants are fooled by the longer-term upward bias in equity indexes such as the S&P 500 when backtesting trading rules. This structural bias makes it hard to distinguish between profitable algos and spurious correlations unless the quant is willing ...
- How to Distinguish Between a Modern Technical Analyst and a Visual Chartist April 22, 2015
Visual chartists often believe they are doing technical analysis but in most cases what they do has little relation to it. It is not hard to distinguish between a modern technical analyst and a visual chartist.
- How Some Signal Providers And Stock Market Newsletters Overstate Performance April 19, 2015
Some signal providers and stock market newsletters overstate performance due to unrealistic calculations and a lack of risk and money management application. Some services and newsletters provide signals to traders and investors in different timeframes. Although competent people have the knowledge ...
- Deterministic Machine Design of Trading Systems With Strict Validation April 6, 2015
A high win rate trading system for SPY was machined and designed using a deterministic method and a simple predictor of price. Validation of in-sample results was performed on out-of-samples of SPY and on an anti-correlated security. The results show that ...
- Using Random Data to Test the Integrity of Machine Learning Algorithms March 21, 2015
In a recent blog I argued that the chances of finding a profitable trading algo via machine learning are for all practical purposes zero due to the large data-mining bias. One method of checking machine learning algorithms for the generation ...
