Clik here to view.
Sharpe Ratio – the right answer to the wrong question?
Sharpe was the right answer First, let’s start with what Sharpe does well. There are two things it does well: Cross-asset unified measure: we all know that the most important component in alpha...
View ArticleClik here to view.
Seasonal Strategies Built The Right Way
Many commodities, and even some individual stocks or stock groups, have recurring fundamental factors that affect their prices. These forcescan be seen by analyzing a market by day of week, day of...
View ArticleClik here to view.
The Tough Truth About Part Time Trading
Practically every week, I get an e-mail or two from an aspiring trader. “I want to make some extra money trading”, the story usually goes. Sometimes it is from young adults, already scrambling to get...
View ArticleClik here to view.
Using a Self-Similarity Metric with Intraday Data to Define Market Regimes
The images above are the famous Sierpinski Triangle and the Koch Snowflake. These objects are “self-similar” and this means that examination at finer levels of resolution will reveal the same shape....
View ArticleClik here to view.
Can You Short The S&P Successfully?
A short signal for the S&P500? Believe it or not, some do exist. Although these can often be hard to find they can also contribute greatly to your success – so tons of traders search endlessly for...
View ArticleClik here to view.
Are you losing when you should be winning? Here’s something you might be missing
Most people think about where to get into and out of positions. Nearly all traders know how important it is to follow their rules, and the majority of them always work toward being more disciplined....
View ArticleClik here to view.
Case study: Can a simple Market Internals technique actually improve trading...
In my 10+ years’ full-time trading career, I have found very few tools and tactics that would get my attention so deeply as Market Internals. In 2014, I spent about six months in a row with this unique...
View ArticleBeginner’s Guide to Quantitative Trading
In this article I’m going to introduce you to some of the basic concepts which accompany an end-to-end quantitative trading system. This post will hopefully serve two audiences. The first will be...
View ArticleClik here to view.
How to Trade the MACD: A High-level Analysis of the MACD Line Feature
Moving Average Convergence Divergence (MACD) is one of the most popular technical indicators used by traders. It is a flexible indicator that can be used for determining the strength and direction of a...
View ArticleClik here to view.
Statistical Analysis For Exits
As system designers, we hit the problem that whilst it seems relatively straightforward to develop entries and then test them against arbitrary exits, the reverse is a lot trickier. I have found out...
View ArticleClik here to view.
9 Mistakes Quants Make that Cause Backtests to Lie
"I’ve never seen a bad backtest” -- Dimitris Melas, head of research at MSCI.A backtest is a simulation of a trading strategy used to evaluate how effective the strategy might have been if it were...
View ArticleClik here to view.
World’s Simplest Trading System
Here’s the system: At the end of every month, * if the index is above its 10-month simple moving average: the portfolio is 100% in the market * if the index is below its 10-month simple moving average:...
View ArticleClik here to view.
Understanding the Relationship Between Stocks & Bonds
Intermarket Analysis is the comparison of potentially related markets. For example: S&P500 and 30 Year Treasury Bonds 30 Year Treasury Bonds and Gold S&P500 and Japanese Yen Shanghai Composite...
View ArticleClik here to view.
The Power Of One, Two, Three!
An example of combining different classes of assets improves returns and reduces riskMany people begin their trading endeavor by trading a single system. This is a great stepping stone to becoming a...
View ArticleClik here to view.
The Journey
“The journey, Not the destination matters...” ― T.S. EliotYou might be wondering what the Nobel Prize winning poet, T.S. Eliot has to do with trading. No, he did not leave a secret trading manual in...
View ArticleClik here to view.
A Better Regime Filter To Boost Returns
One technique for optimizing systems is to create a regime filter. A most common example is a binary classifier that classifies the market into either bull or bear markets based on closing above or...
View ArticleClik here to view.
Three Trading “Truths” Quantified
I want to discuss three trading “truths” that I often hear but when I finally got into testing ideas found them to be myths. These discoveries were instrumental in turning my trading around.For those...
View ArticleClik here to view.
Five Stock Market Timing Indicators Put To The Test
Humans have been trying to clock in the stock market with fancy indicators since the beginning of time. But do they work? In this article I test five different market timing indicators. They...
View ArticleClik here to view.
A Strategy For Each Day of the Week [Seriously?]
A different strategy for each day of the week? Sounds crazy, but is it?I have written about “Turnaround Tuesday” before.This simple strategy is actually at new highs since this was published over 10...
View ArticleClik here to view.
Market Seasonality Study
With April over I thought it would be a good idea to review our Market Seasonality Study. If you will recall, back on November 2nd of last year, we opened a seasonality trade in anticipation for a...
View Article