- The Price Action Lab SPY2p5 System Outperformed the Market in 2012 January 11, 2013
The SPY2p5 system, which was generated by Price Action Lab on April 7, 2012, outperformed the market in 2012 by a wide margin. The SPY2p5 system was developed on April 7, 2012 based on an in-sample period from the inception of SPY ...
- What Return? December 29, 2012
This is the time of the year when performance statistics are published in the blogoshpere. One of the parameters reported is the arithmetic 1-year return for stocks, commodities, currencies, funds, etc. But what return? The details of the calculations are usually left out. Here is ...
- Fundbusters December 27, 2012
The fundbusters team includes your familiar quant blogger, your local college professor and everyone else who can identify an edge and publish the results in a journal or in the blogosphere. As fundbusters get satisfaction from publishing edges rather than from using ...
- The Main Cause of Failure of Some Popular Technical Trading Methods December 21, 2012
Trend-following based on indicators and classical chart patterns are two trading methods that were developed in mid 20th century using data from the equity markets mainly. These methods worked well for an extended period of time in those markets due ...
- Price Patterns With Delayed Entry December 18, 2012
The introduction of a delay in the entry of a position after a price pattern is formed can under certain circumstances act as a filter of price corrections that often follow. In the absence of a delay, positions may suffer an immediate ...
- A Common Mistake in Calculating Correlations December 11, 2012
No information is reliable until it is checked thoroughly.
- Chaos in Technical Analysis and Backtesting – Part II: Split-adjusted Data November 27, 2012
Parts I and II of the series Chaos in Technical Analysis and Backtesting discussed some of the problems that arise in the context of technical analysis and backtesting when using split and dividend adjusted data. In this post I discuss the ...
- Another Curve-Fitted Counter-Trend Strategy November 8, 2012
My research indicates that most counter-trend strategies depend on suitable market conditions to perform well. Robust strategies should work well under all possible market conditions because we can never know when the conditions will change. In this post, I present an analysis ...
- Your Next Challenge Involves Staying Ahead of Academic Research November 7, 2012
You have worked hard to come up with an edge and you have employed all sorts of measures to preserve it. You have built your fund business the hard way by delivering absolute return to clients. Next thing you know ...
- There is no Evidence that Counter-Trend Trading is Viable November 7, 2012
Trend-following is a very popular trading method employed by funds, longer-term investors and even mechanical and discretionary traders. This method of trading is compatible with common sense and its success has been verified in practice by multi-year performance records showing exceptional ...
