- Analysis of a Simple Volatility Trading Strategy [Premium Articles] December 1, 2015
Volatility trading strategies often realize impressive returns. However, some of those strategies cannot deal effectively with volatility spikes and exhibit large drawdown levels. In this article I look at a simple strategy for trading volatility that is available in the ...
- Inferences From Backtest Results Are False Until Proven True November 22, 2015
The validity of any backtest results should not be assumed no matter how credible their source appears to be.
- A Significant Anomaly in Bonds [Premium Articles] October 23, 2015
Since the inception of TLT, a little less than 50% of the buy and hold gains have occurred on Fridays and that increases to nearly 100% after 2011. This calendar effect is a significant anomaly and shows that markets are ...
- S&P 500 Price Action, Overnight Effect and Directional Probabilities [Premium Articles] October 22, 2015
Details are included below. S&P 500 As of the close of yesterday, the S&P 500 is 5.25% below its all-time high and must gain 2.02% to get to its 200-day moving average. Price action is getting more random as prices get close to ...
- Stocks on Thursdays and Bonds on Fridays [Premium Articles] October 22, 2015
Since the start of this year, the strategy of buying SPY at the close of Wednesday and selling at the close of Thursday has returned nearly 10%. At the same time, buying TLT at the close of Thursday and selling ...
- More on the Perils of Statistical Hypothesis Testing [Premium Articles] October 11, 2015
Hypothesis tests based on one-sample t-tests and on bootstraps can be misleading, especially when returns are generated by an over-fitted trading strategy designed via machine learning and multiple comparisons.
- Perils Of Statistical Hypothesis Testing [Premium Articles] October 5, 2015
Statistical hypothesis testing results for the purpose of assessing the significance of trading and investment strategies must be carefully scrutinized because they are in most cases naive or can even be used to mislead the public.
- Asset Allocation, Adaptive Trend-Following, Randomness, Hurst Exponent [Premium Articles] September 28, 2015
Report on the state of Price Action Lab diversified portfolio, SPY adaptive trend-following, stock market randomness and Hurst exponent. Asset allocation The Price Action Lab diversified portfolio in SPY, TLT, GLD and DBC with weights of 40%, 40%, 10% and 10%, respectively, ...
- Performance of Two Strategies in Momersion Regimes [Premium Articles] August 24, 2015
In this article we analyze the performance of two popular mean-reversion trading systems in momersion regimes, i.e., when there is no clear indication whether a market is driven by momentum or mean-reversion. One conclusion is that one of the systems ...
- The Stock Market Trend is Still Strong According to Kelly Leverage June 3, 2015
Optimal leverage for continuous rebalancing of a passive SPY tracking strategy is still above its longer-term mean and far from trend reversal trigger levels.