- Frequent Retail Forex Trading is a Losing Negative-Sum Game November 2, 2013
Based on a simulation of 20,000 random long/short systems trading EURUSD using daily data, the percentage of winners turns out to be a number statistically indistinguishable from 0 even in the presence of 1:1 leverage and when spread and slippage are in the range of 2 ...
- How Does Your Return Compare to Random Trading? October 25, 2013
Is your fund doing better this year so far than the average of a large number of traders tossing coins to trade the market? Given that the buy and hold return (less dividends) of SPY is close to 20% YTD, ...
- Naive Chartists Get Crashed Shorting Google October 19, 2013
A massive head and shoulders top in GOOG has compelled many naive chartists to short the stock in anticipation of a huge down move. Instead, a huge up move took place on Friday crashing the dreams and hopes of those who ...
- A Stunning Return in Apple and the Best Kept Secret in Wall Street October 15, 2013
Maybe this is one of the best kept secrets in Wall Street, exposed today to the readers of this blog. To make a long story short, although the YTD return of AAPL is about -5% when adjusted for dividends, buying the stock ...
- VIX Redundancy October 11, 2013
I have argued in the past that VIX, for all practical purposes, tracks the inverse S&P 500 index. Actually, there are much better technical indicators of volatility, like for example the Average True Range (ATR) measure. It is shown here that VIX ...
- Volatility is Not Always Related to High Risk October 3, 2013
In the last 20 years the best time to buy stocks was during periods of high volatility that marked the lows of major bear markets. Yet, the timing of long entries of many investment models is based on low volatility, ...
- 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.
- Descriptive Statistics In The Financial Blogosphere August 30, 2013
Anyone using excel can generate descriptive statistics based on market data, such as the mean, standard deviation, kurtosis and skewness of returns, or even the percentage of winning trading days after specific holidays. Such descriptive statistics are for the most part ...
