Quantitative analysis and strategies in the financial markets
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
Continue readingAlways 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
Continue readingIn 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:
Continue readingPenny 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.
Continue readingWe 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
Continue readingHaving 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
Continue readingMost 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
Continue readingThis 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
Continue readingThe 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,
Continue readingBack 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
Continue readingYesterday, 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
Continue readingThe 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
Continue readingIn 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
Continue readingWe 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
Continue readingI 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
Continue readingBackground: 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
Continue readingOver 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.
Continue readingI 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
Continue reading20+ 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
Continue readingSome 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:
Continue readingMany traders swear to stop-losses by default, but to me, it doesn’t make sense because: If you buy something at 100, why should you just put in an arbitrary stop-loss
Continue readingBelow is a very simple and easy strategy to implement: It’s based on monthly quotes in the ETFs SPY, EEM, and TLT. Every month rank them based on last month’s
Continue readingNo matter how good strategies you have, they are most likely worthless if you can’t execute them properly. What looks like a piece of cake in a backtest, is completely
Continue readingBelow is a simple and easy trading strategy to implement in SPY or the S&P 500: IBS (internal bar strength) must be lower than 0.25 (using daily bars). RSI (21)
Continue readingBelow is a simple and easy trading strategy to implement in QQQ: IBS (internal bar strength) must be lower than 0.25. RSI (5) must be below 25. If 1 and
Continue readingIn 2018 I wrote about a potential Monday/Tuesday trade strategy in Nasdaq. How has this strategy performed during the Covid-19 mess? Pretty good, actually. I’ve been trading this strategy, with
Continue readingMost traders and investors have heard that you need to sell in May and go away. Is this just a myth or is it correct? Three years ago I wrote
Continue readingRob Hanna at Quantifiable Edges had an interesting article some days ago about bounces in the S&P 500. I made some changes to his strategy and ended up with these
Continue readingAugust has historically provided good returns for owners of 30-year US treasuries. I read about this seasonality many years back, but I’m quite surprised it still seems to be working
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Below is a potential short strategy in the S&P 500: Short= C>Ref(C,-1) AND Ref(C,-1)>Ref(C,-2) AND Ref(C,-2)>Ref(C,-3) AND ADX(5)>35 AND RSI(2)>90 Description: If the close is higher for the third time
Continue readingI often receive e-mails from potential traders that want to get “rich” trading. I tell them to instead consider investing their capital for long-term appreciation, preferably via passive or active
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By looking at some potential strategies for S&P 500 I found some very interesting facts that I wouldn’t guess beforehand. I used the ETF SPY as a proxy for the
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Last week was rather rough for the stock markets all over the world. In the first four days, the S&P 500 lost more than 4%. Media is of course full
Continue readingI had a brief look at the distribution of my trading profits over the last four years. I simply ranked my net profit per day in descending order and got
Continue readingOne very simple strategy for QQQ/Nasdaq: Today is Monday OR Tuesday. IBS (c-l/h-l) is 0.1 or lower. If conditions 1 and 2 are fulfilled, go long at the close. Exit
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