Free Blog

There have been two post-war periods in the US stock market with sideways action for about twelve and a half years and large drawdowns from all-time highs. Is another such period possible? The two worst post-war periods in the US stock ...

This is a simple strategy for trading Russell 3000 stocks short-only. The strategy has a high Sharpe ratio. Update: This article was updated on December 29, 2023. For all backtests in this article, we used Norgate data for the Russell 3000 index, ...

Artificial Intelligence (AI) ETFs have underperformed so far as compared to large-cap and tech stocks. The performance since inception has been disappointing, and the drawdowns from all-time highs have been large. Below is a list of seven AI ETFs showing the ...

Whether the allocation is strategic or tactical, the optimal weights of the assets depend on past data. Optimality breaks down when there are regime changes. Optimal asset allocation depends on several factors besides the obvious one, which is the choice of ...

Extreme overbought and oversold conditions might be one of the top causes of technical trader failures. All technical indicators have good and bad aspects. It is often hard for traders to benefit from the good aspects and easy to get ruined ...

The recovery of the 60/40 portfolio has been slow and even painful. We include performance results for three different portfolios. As far back as June 2017, I warned the readers and subscribers of this blog about the high correlation of the ...

The long-only mean-reversion strategy for trading SPY and QQQ is based on two popular indicators.

There is no bull market yet, and mainstream media announcements are premature. I propose a more robust metric for deciding when a new bull market starts after a correction. The mainstream financial media rushed last week to announce a new bull ...

This article provides an update on the performance of the PSI5 strategy applied in divergent (trend-following) mode to 23 futures contracts in the daily and weekly timeframes. The PSI5 algo is not data-mined but based on a formula that models price action ...

Some traders are puzzled when both the VIX index and the SPY ETF end with the same return sign for a day, but that is nothing unusual and a frequent occurrence. Days with the same sign for the VIX index and ...