- Senseless Talk [Premium Articles] October 10, 2017
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 ...
- Momersion Indicator Code [Premium Articles] October 6, 2017
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); ...
- RSI2 Versus RSI3 Mean-Reversion [Premium Articles] October 4, 2017
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 ...
- Passive Investing Is An Over-Fitted Strategy [Premium Articles] October 2, 2017
The conflict about over-fitted market timing strategies versus passive investing has more to do with marketing and sales than with sound quantitative analysis.
- Identifying Market Bottoms Before Momentum Traders [Premium Articles] September 26, 2017
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 September 19, 2017
international stocks have consistently underperformed U.S. stocks
- Who To Avoid In Financial Twitter And Blogosphere [Premium Articles] September 19, 2017
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 ...
- Validation Methods For Trading Strategy Development [Premium Articles] September 18, 2017
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 ...
- Overnight Price Action Reveals Stock Market Dynamics [Premium Articles] September 12, 2017
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 ...
- The Limiting Case Of Equity Trend-following is Passive Investing September 11, 2017
Trend-following in the 1980s and 1990s meant different things as compared to the description found today in articles and books on systematic trading.