Quantified Strategies

The Santa Claus Rally in DAX and Euro Stoxx 50 Our backtests show significantly better performance during the Christmas season and the end of the year. The Santa Claus rally

Trading the week after futures expiration in DAX 40 This article looks at the performance of the DAX futures contracts in the week after the expiration of the contract. DAX

The Santa Claus Rally In Emerging Markets One of the seasonal strongest periods is approaching: the Christmas holiday. The Santa Claus Rally or the end of the year effect has

The Santa Claus Rally In India We are approaching perhaps the strongest two/three weeks of the year: the Santa Claus Rally or the end of the year effect. We have

Which time frame is best in trading? By default, most traders use daily bars. Is that just a habit or is there a logical reason behind it? Let’s do some

What is an unfilled gap in trading? An unfilled gap in trading happens when all the price action today is either lower than yesterday’s low (gap down) or higher than

Candlesticks are popular. They are very useful for visual displays, but our previous backtests indicate candlesticks might be useful to make trading strategies as well. But what is the best

What role can risk-mitigating and defensive assets play in a portfolio? Do we use them only to seek shelter until the passing of financial storms? Contrary to what we learn

Candlesticks are a popular charting method. We use them extensively ourselves for charting because we believe they give a very good visualization of the price action, even though we never

All backtesting and system development on this website is done with Amibroker. Despite its cheap price, we believe Amibroker is the best software for backtesting and charting. However, Amibroker offers

The Thanksgiving holiday is right around the corner. Is this a good seasonality to be long stocks? The Thanksgiving and Black Friday effects are very strong. We did multiple backtests

There are numerous articles on the internet arguing the futility of timing long-term investments. We decided to do some tests ourselves by removing just a few observations from the datasets

A trading journal (or trading log) is a great tool for any aspiring trader. We recommend writing down all your trades in a database after each trading day. This article

Why programmers and coders are bad traders It boils down to one thing: they look at the market like science. But the market is completely different from math and other

Albert Einstein is famous for saying that compounding is the eighth wonder. But what if he is wrong? Perhaps multiplicative compounding is the most destructive force in the universe? The

The Euro Stoxx 50 is one of the world’s most popular equity indexes to trade. Because of its popularity, a new Mini futures contract has seen the day of light

Thursday last week, the 4th of November 2021, was the fourth day in a row with a higher close than the previous close in the S&P 500. How often does

Let’s play with some numbers and find out how removing certain observations influences the end result compared to buy and hold. We test by owning Bitcoin from January 2015 until

The fourth quarter is a strong period for stocks. But which five-day period is best? We did a test to find out which calendar days of which month produce the

One of the most important macro numbers on this planet is the monthly US job report. The report sets the bond traders on fire and subsequently the stock market because

Morgan Housel has written a short and powerful book about personal finance called The Psychology Of Money – Timeless Lessons On Wealth, Greed, And Happiness. The book might not be

The DAX index is the main equity index in Germany. It’s one of the most popular trading vehicles in the whole world and has a tremendous daily volume. Because of

Trading is about repeating small trading edges in the market. If you work hard and diversify with different markets, time frames, strategies, and market directions, you can develop a decent

Optimization in trading is good if done correctly and below you can read how to optimize a trading strategy. Optimization has negative associations for many traders, just like curve fitting,

Monte Carlo simulation is a tool frequently used in statistics. Can this tool be used in trading and investing to measure risk and uncertainty? Yes, it turns out you can

We have several times in our articles written about the distinction between “street smart” and “academic smart”. The latter can also be labeled “book smart”. Street smarts and book smarts:

The options expiration week is on the Friday before the third Saturday each month. The options expiration week has historically been a significant event. It might be possible to develop

Simplicity is beauty and beauty is simplicity, nothing more, nothing less.” Oscar Wilde Most people instinctively add features and variables in most areas of life. If your trading strategy seems

The winter period, October to May, has historically been a very good period for US stocks for many decades. How has the stock market in other countries performed? This article

The period from October to May (next year) has been the best period for US stocks since at least 1960. Practically all the gains have come during these seven months.

Most articles about trading are about when to buy (or sell short) or how to deal with the psychological aspects, but hardly anything can be found about exits, even though

Many traders focus a lot on the psychological aspect of trading. That is, of course, important but not as important as having a statistical trading edge and the correct position

Seasonal trading strategies The year has four different seasons and the financial markets have seasonal patterns that you can exploit for your trading strategies. Seasonality refers to patterns that occur

Backtesting is a tool that not only small retail traders use but also big institutions. The world’s most successful hedge fund, Jim Simons’ Medallion Fund, uses backtesting continuously to develop