- Walk-Forward Trading System Synthesis and the Importance of Old Data September 18, 2013
This article introduces the process of Walk-Forward Trading System Synthesis™. I show with an example that in the case of price patterns this process may not offer any advantages over the traditional Trading System Synthesis process that uses the whole available in-sample of ...
- Software to Trade Like a Quant Hedge Fund September 11, 2013
Price Action Lab (PAL) is a software program used by quantitative traders and hedge funds around the world for algo discovery and discretionary trading. This article lists the main features of PAL. Price Action Lab has three main functions: search for price patterns, scan for price patterns ...
- Practical Position Sizing Based on the Risk Ratio September 7, 2013
In the blogosphere and elsewhere one can find many articles about optimal position sizing and on maximizing equity growth via the use of fancy math, for example the Kelly ratio.
- Sell In August and Go Away? Bayes’ Rule Says The Odds Are in Your Favor August 3, 2013
You are a fund manager and you are making a 30% return for the year just by employing a naïve golden cross trend-following strategy. You know that if a correction begins now, maybe up to 7% or even more may ...
- Chart Illusions July 25, 2013
I have talked about the significant variations between unadjusted and dividend adjusted stock charts, as well as between continuous and adjusted futures charts, and how they can lead to very different inferences in the context of classical technical analysis. This empirical ...
- A New Challenge to Classical Chart Analysis July 19, 2013
In the recent past classical chart analysis has produced some major failures, including that of the notorious complex top in bonds in the beginning of 2012 that failed miserably, causing devastation to bond bears and another blow to this ambiguous practice. There is another challenge ...
- An Example of Selection Bias in Pattern Analysis July 12, 2013
The 5-day winning streak in S&P 500 and SPY is a pattern easy to spot on a daily chart but any inferences about the future direction of the market based on only this pattern are based on selection bias. There ...
- Charts Are Never Bullish or Bearish – People Are July 5, 2013
Charts reflect past price action that was driven by fundamentals and expectations. These two fundamental drivers of price can change anytime and as a result prices may suddenly reverse course. Those who think that charts can be bullish or bearish and base their ...
- The Passive Indexing Buy and Hold Crowd Should Reconsider June 28, 2013
They should reconsider their unreasonable stand against active management after taking a closer look at the enclosed chart. In my opinion, 15 trades in 13.5 years are not such a big deal for the type of dramatic improvement in returns. ...
- The Art and Science of Price Action Analysis June 2, 2013
Many traders think that price action analysis is the visual examination of charts for patterns of price and indicators. But the visual examination of charts mostly projects cognitive biases on price action and facilitates selection of conditions that support subjective views about market direction. There are many objective ways ...
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