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Quantitative analysis and strategies in the financial markets

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Larry Connors’ Multiple Days Up And Multiple Days Down Strategy

Posted on January 13, 2021 by Oddmund Groette

Chapter 6 of Larry Connors’ High Probability Trading contains a strategy called Multiple Days Up (MDU) And Multiple Days Down (MDD). The book was published in 2009, the trading tests

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How To Become A Successful Quant Trader

Posted on January 11, 2021January 11, 2021 by Oddmund Groette

There are many approaches on how to make money in the markets. Some use fundamental factors, others use technical analysis, while others might crunch numbers to get an edge. The

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What Happens After A Sell-Off On The First Day Of The Month?

Posted on January 6, 2021 by Oddmund Groette

The first trading day of 2021 started with a “mini-crash”. The S&P 500 fell 1.36% and the Nasdaq fell 1.41%. We have previously established the end of the month effect:

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Larry Connors’ %b Strategy (Bollinger Band)

Posted on January 5, 2021 by Oddmund Groette

In chapter 5 of Larry Connors’ book High Probability Trading, published in 2009, there is a strategy called %b strategy. The book contains many strategies which we test in chronological

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Are The Bollinger Bands Profitable? (Including Strategies)

Posted on December 29, 2020December 31, 2020 by Oddmund Groette

The Bollinger Bands are renamed after its inventor, John Bollinger. The indicator was invented in 1980 and made John Bollinger a pretty famous trader. The bands are included in all

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The January Effect That Works

Posted on December 27, 2020December 27, 2020 by Oddmund Groette

On page 279-280 in The Education of a Speculator, Victor Niederhoffer explains his version of the January effect: The gain in January determines the average gain the next 11 months.

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The January Effect In The S&P 500 (Does It Still Work?)

Posted on December 27, 2020December 27, 2020 by Oddmund Groette

The January effect is a well-known anomaly. To our knowledge, it was published as a strategy for the first time in 1962, according to Victor Niederhoffer in the book The

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The End Of The Year Rally In The S&P 500

Posted on December 27, 2020December 27, 2020 by Oddmund Groette

We are now entering one of the (historically) strongest periods of the stock market: the last days of the year plus the first days of the next year. Back in

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What Is A Good Trading Strategy?

Posted on December 23, 2020December 23, 2020 by Oddmund Groette

First things first: The first thing you need to understand is that the perfect strategy doesn’t exist. Many keep looking for the perfect indicator or the perfect setup, or they

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Larry Connors’ R3 Strategy (It Still Works)

Posted on December 21, 2020December 21, 2020 by Oddmund Groette

Today we continue backtesting the strategies Larry Connors and his team published in 2009 in a book called High Probability ETF Trading. All the strategies were tested on a basket

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Larry Connors’ RSI 25 & RSI 75 (It Still Works)

Posted on December 15, 2020December 15, 2020 by Oddmund Groette

High Probability ETF Trading, published in 2009 and written by Larry Connors and Cesar Alvarez, contains some interesting strategies. They are all mean revertive and tested on the most popular

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Larry Connors’ 3 Day High/Low Method (Does It Still Work?)

Posted on December 14, 2020December 14, 2020 by Oddmund Groette

Larry Connors and Cesar Alvarez published a book called High Probability ETF Trading in 2009. All of the strategies covered in the book showed great results, but almost 12 years

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Are Moving Averages Good Or Useless? (Quantified Analysis)

Posted on December 11, 2020December 14, 2020 by Oddmund Groette

Moving averages are widely discussed and used in the media and likewise frequently used by analysts when making calls about the future. Most traders and investors have probably heard about

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Ways To Use ADX (Average Directional Index | Does It Work?)

Posted on December 8, 2020December 8, 2020 by Oddmund Groette

This article looks at the ADX indicator. The indicator was developed by Welles Wilder and released in his book from 1978 called New Concepts In Technical Trading Systems. Mr. Wilder

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Why Build A Portfolio Of Quantified Strategies (Including Two Strategies)

Posted on December 7, 2020December 7, 2020 by Oddmund Groette

The most important task of a quantitative trader is to find trading edges and subsequently turn them into good stand-alone strategies. However, many traders neglect to test how those strategies

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How The RSI Indicator Works (How To Use It In Trading)

Posted on December 2, 2020December 2, 2020 by Oddmund Groette

The Relative Strength Index (RSI) was developed by Welles Wilder and first introduced in a magazine called Commodities (now Futures) in June 1978. Wilder published a book in the same

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How To Fail As A Trader: 11 Skills Of The Unsuccessful (Inverse Thinking)

Posted on November 30, 2020November 30, 2020 by Oddmund Groette

Always inverse, says the famous investor Charlie Munger, Warren Buffet’s friend and business partner. What is inverse thinking? This is when we turn a problem on its head or look

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The Elder Ray Indicator (With Quantified Examples): Does It Work?

Posted on November 25, 2020November 30, 2020 by Oddmund Groette

In a series of articles, we want to test different indicators and trading techniques. Almost all indicators are “proved” by anecdotal evidence, and rarely quantified. That’s perhaps not a coincidence:

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Why You Shouldn’t Trade Penny Stocks (Why Avoid Them)

Posted on November 21, 2020November 25, 2020 by Oddmund Groette

Penny stocks attract a lot of attention, both among investors and traders, but also among scammers, unfortunately. The traps are many, and we recommend to stay away from penny stocks.

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Why Scalping Is A Waste Of Time (Do This Instead)

Posted on November 16, 2020December 29, 2020 by Oddmund Groette

We don’t recommend scalping. Scalping involves competing with better-equipped traders and institutions, you need to deal with lots of randomness, and you most likely end up both wasting your time

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How To Find Trading Edges In The Markets (With Examples)

Posted on November 13, 2020November 25, 2020 by Oddmund Groette

Having some kind of an edge in the markets is crucial to make money. The financial markets are a competitive place where amateurs and beginners are easy prey for the

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What Is The Best Personality Type For Trading? (Extrovert Or Introvert Traders)

Posted on November 12, 2020November 17, 2020 by Oddmund Groette

Most traders focus on finding an edge in the market by developing good and robust trading strategies. But many neglect one other very important factor for good returns: understanding your

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What Are Quantified Strategies? – [With Examples]

Posted on November 9, 2020November 25, 2020 by Oddmund Groette

This website is all about quantified strategies, often called algorithmic strategies. But what exactly are quantified strategies? Quantitative/quantified strategies defined: Quantitative strategies are strategies based on finding inefficiencies in financial

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The Internal Bar Strength (IBS) Indicator [Including Quantified Strategies]

Posted on October 30, 2020December 1, 2020 by Oddmund Groette

The Internal Bar Strength indicator (IBS) has worked remarkably well for over two decades. We can only guess why, but the stock market has been highly mean-reverting during this period,

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RSI(2) On QQQ (Nasdaq)

Posted on September 16, 2020November 17, 2020 by Oddmund Groette

Back in 2016 I published an article on using short term RSI (relative strength index) on SPY. Let’s test how a slightly different strategy performs on QQQ: RSI(2) must be

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September Is The Worst Month Of The Year For Stocks

Posted on September 4, 2020November 17, 2020 by Oddmund Groette

Yesterday, the 3rd of September 2020, witnessed a pretty big drop in the stock market with Nasdaq leading the decline with a drop of 5.07%. Out of interest, I looked

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Being Slightly Bonkers Can Serve You Well In Trading

Posted on August 27, 2020November 18, 2020 by Oddmund Groette

The models that dominate all human decision-making today are duly heavy on simplistic logic, and light on magic – a spreadsheet leaves no room for miracles. But what if this

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Is Fear Good Or Bad For A Trader? (How To Overcome Fear)

Posted on August 21, 2020January 3, 2021 by Oddmund Groette

In a previous post, I wrote about a trader’s mindset. You have to battle the markets, of which you have no influence and control, but more importantly, you have to

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Monthly Seasonalities In Long-Term Treasuries

Posted on July 31, 2020November 17, 2020 by Oddmund Groette

We are now entering the best month over the last 20 years in long-term treasuries (TLT) – August. From the last closing price of July until the last in August

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Boardgames And Trading

Posted on July 21, 2020November 17, 2020 by Oddmund Groette

I currently reread Victor Niederhoffer’s The Eduction of A Speculator. I regard this book as one of the best I have ever read. It’s not an easy read, but it

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Is It Still Possible To Trade US ETFs For EU Retail Residents?

Posted on July 14, 2020November 18, 2020 by Oddmund Groette

Background: An EU/EEA regulation called MiFID requires brokers to categorize their clients as either “retail” or “professional” in order to determine the correct level of investor protection and transparency. MiFID

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Market Neutral Momentum in EEM And SPY

Posted on July 3, 2020November 17, 2020 by Oddmund Groette

Over the last weeks I have written three articles about monthly momentum in TLT, SPY, and EEM: Monthly momentum in SPY, TLT, and EEM. Monthly momentum in SPY and TLT.

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Monthly Momentum In SPY and EEM

Posted on July 1, 2020November 17, 2020 by Oddmund Groette

I have over the last week written two articles about momentum: Monthly momentum in SPY, TLT, and EEM. Monthly momentum in SPY and TLT. The third looks at rotating between

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Daily Effects In Long-Term Treasuries

Posted on June 26, 2020November 17, 2020 by Oddmund Groette

20+ treasury bonds show a significantly different performance depending on the day of the week. Assume we start with an account worth 100 000 and hold for one day: Mondays

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Monthly Momentum In SPY and TLT

Posted on June 25, 2020November 17, 2020 by Oddmund Groette

Some days ago I published an article that rotates between SPY, TLT, and EEM based on monthly momentum. Let’s test how this strategy performs when rotating between SPY and TLT:

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Popular posts:

  • Trading strategies
  • RSI(2) On QQQ (Nasdaq)
  • Moving Average and ATR As Mean Reversion
  • Daytrading
  • S&P 500 Mean Reversion Using IBS and RSI
  • The Internal Bar Strength (IBS) Indicator
  • Being Slightly Bonkers Can Serve You Well
  • Internal Bar Strength In Consumer Staples
  • Trading Tactics
  • Buy When S&P 500 Makes New Intraday High?

Recent posts:

  • Larry Connors’ Multiple Days Up And Multiple Days Down Strategy
  • How To Become A Successful Quant Trader
  • What Happens After A Sell-Off On The First Day Of The Month?
  • Larry Connors’ %b Strategy (Bollinger Band)
  • Are The Bollinger Bands Profitable? (Including Strategies)
  • The January Effect That Works
  • The January Effect In The S&P 500 (Does It Still Work?)
  • The End Of The Year Rally In The S&P 500
  • What Is A Good Trading Strategy?
  • Larry Connors’ R3 Strategy (It Still Works)
  • Larry Connors’ RSI 25 & RSI 75 (It Still Works)
  • Larry Connors’ 3 Day High/Low Method (Does It Still Work?)
  • Are Moving Averages Good Or Useless? (Quantified Analysis)
  • Ways To Use ADX (Average Directional Index | Does It Work?)
  • Why Build A Portfolio Of Quantified Strategies (Including Two Strategies)
  • How The RSI Indicator Works (How To Use It In Trading)
  • How To Fail As A Trader: 11 Skills Of The Unsuccessful (Inverse Thinking)
  • The Elder Ray Indicator (With Quantified Examples): Does It Work?
  • Why You Shouldn’t Trade Penny Stocks (Why Avoid Them)
  • Why Scalping Is A Waste Of Time (Do This Instead)

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