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The talk about these recent patterns is senseless. You can also use this as a metric of judging the quality of the analysis involved. For example, there is a lot of talk about the fact that in the last 24 days ...

A few subscribers have asked for the code of the Momersion indicator. Below is the code we use in Amibroker. Momersion indicator details can be found here. This is the code for Amibroker: //Momersion indicator code N=Param("Period",252,0,3000,1,0); ret=ROC(C,1); M=IIf(ret*Ref(ret,-1)>0,1,0); MR=IIf(ret*Ref(ret,-1)<=0,1,0); Mc=Sum(M,N); MRc=Sum(MR,N); Momersion=100*Mc/(Mc+MRc); Plot(50,"",colorBlack,styleLine,styleNoLabel); ...

Some developers use the RSI3 instead of the RSI2 as part of their mean-reversion strategies. In this article we investigate the soundness of this choice. We consider long-only mean-reversion in SPY in this analysis. All backtests use fully invested equity and ...

The conflict about over-fitted market timing strategies versus passive investing has more to do with marketing and sales than with sound quantitative analysis.

While most traders and investors are trying to identify the next market top, we are already working on identifying the bottom that will follow, hopefully. Market top and bottoms can be identified via the use of moving averages crossovers but at ...

international stocks have consistently underperformed U.S. stocks

A non-exhaustive list is included below. 1.  Economists The first and obvious group is economists, no matter how important and famous they are. Their analysis has no value for traders and at times it is detrimental to investors because it suffers from ...

There are several methods used to validate trading strategies but each has advantages and disadvantages. In this article we discuss four validation methods. In trading strategy development validation is required because it is easy to over-fit strategies on historical data during ...

Year-to-date overnight price action reveals an interesting dynamic of the stock market and a persistent anomaly. Below is a chart of the low volatility S&P 500 ETF (SPLV) with overnight (brown) and regular trading hours (green) accumulation series. A persistent effect is ...

Trend-following in the 1980s and 1990s meant different things as compared to the description found today in articles and books on systematic trading.