- Trend-following and Price Series Momentum Risks [Premium Articles] January 31, 2019
Some trend-followers are happy with historical and actual performance of their strategy and do not perform stress tests. However, the historical performance of trading strategies is always linked to a specific path. How about performing a stress test just to ...
- Free Volatility Strategy Performance Update [Premium Articles] January 29, 2019
As we have mentioned previously, we do not offer a volatility strategy signal service due to the high risk of ruin. As the Monte Carlo analysis shows, the probability of a drawdown greater than 60% is as high as 30%. ...
- Few Comments on Claims of Unprecedented Low Volatility in Last Two Years [Premium Articles] January 25, 2019
Claims of unprecedented low volatility in the last two years are frequently made in financial media and blogosphere. Below are two indicators to investigate the validity of such claims.
- Unfounded Necessity Claims About Price Action [Premium Articles] January 23, 2019
In this blog we always point to the fact that in technical analysis there are no necessary and sufficient patterns since all patterns are derivatives of price action.
- Proper Question to Ask About the Market Correction [Premium Articles] January 15, 2019
In science asking the proper question is often the key to finding a solution. However, asking the proper question must be usually done in the right context. What is the right context to ask questions about the stock market and specifically ...
- Was 2018 One of Most Volatile Years in Stock Market? [Premium Articles] January 10, 2019
We have seen articles asserting that 2018 was one of most volatile years and also articles rebutting such claims. This is what actually happened. Below is a daily chart of S&P 500 with the rolling 21-day standard deviation and the 14-day ...
- Update on Two Important Price Action Anomalies [Premium Articles] January 9, 2019
These price action anomalies are responsible for the bulk of profits in the markets they apply while there is no sign yet of them being affected by arbitrage. Overnight price change anomaly The first price action anomaly is responsible for the fact ...
- On the Edge of Randomness [Premium Articles] December 6, 2018
The market is in a precarious position at this point. More details below. The 252-day Momersion reached exactly 50 last Tuesday, as shown in the chart below: The above development means that in the last 252 days, momentum (positive or negative) and ...
- Market Rebound Days and Associated Misinformation [Premium Articles] November 29, 2018
There is misinformation but also disinformation related to strong rebound days during corrections and bear markets. Here we offer a clarification for our subscribers. Yesterday the S%P 500 rose 2.3%. In the last three days the index has risen 4.2% after ...
- Momentum Has Returned to Stock Market November 12, 2018
After several years of persisting mean reversion, momentum has returned to stock market