The magic behind Jim Simons’ trading strategies consists of collecting an enormous amount of data and analyzing the data to find statistical patterns and non-random events in a wide range of markets. Furthermore, Jim Simons and Renaissance Technologies have put…
Connors RSI trading strategy often referred to as CRSI, is a momentum-based oscillator and indicator that tries to improve on the original 14-period RSI indicator developed by Welles Wilder. Unlike the original 14-period RSI indicator, the CRSI uses 2 periods…
The Copper/Gold ratio trading strategy seems to offer good entry points for both copper and gold. We backtest the ratio and find positive results for the next one to 12 months after a signal is triggered. Copper and gold are…
Profit Factor is a key performance metric used in trading to assess the profitability of a trading system or strategy. It’s calculated by dividing the total profit generated by winning trades by the total loss incurred from losing trades. Essentially,…
Today we test Larry Connors‘ R3 strategy and we continue backtesting the trading 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 of 20…
In this post, we’ll walk you through three long-term trading strategies that aim to reduce drawdowns, ride bull markets, and potentially outperform buy-and-hold with less stress. These are the 3 long-term strategies that work: 1. The 200-Day Moving Average Strategy…
There are different types of tools and indicators professional traders can use to track markets and price action, but oscillators seem to suit swing traders more, which is why the Gator Oscillator was created from the already existing Alligator indicator….
In the world of finance, professional financial analysts play an important role, directing the allocation of capital through in-depth research. When analyzing a company, analysts typically conclude their reports with a recommendation, usually categorized as strong buy, buy, hold, sell,…
The phenomenon known as the overnight effect or overnight drift is a significant topic in quantitative finance, referring to the tendency of asset returns during non-trading hours to exhibit substantial patterns. This drift has been well-documented across numerous asset classes,…
What is the MAR Ratio and Why Should You Care? The MAR Ratio (Managed Accounts Report Ratio) is arguably one of the most important yet underutilized performance metrics in trading and investing. Named after the Managed Accounts Report newsletter, where…
Why day traders fail boils down to at least 16 reasons. This article explains why day traders fail and what you can do to survive and perhaps even prosper. Why day traders fail is mainly because they don’t understand the…
The lunchtime effect in the stock market, particularly in the U.S., refers to a noticeable pattern where trading volumes and returns drop during lunch hours, typically between 11:30 AM and 1:00 PM. This phenomenon has been observed across various markets…
This article challenges the conventional wisdom that long-term investing in triple leveraged ETFs (TLETFs) is an “anathema” due to issues like daily rebalancing and “beta slippage” or the “constant leverage trap,” which often lead to poor long-term performance. We show…
The relationship between gold mining shares and gold bullion is often misunderstood. While gold miners move with gold prices because their revenue depends on the price of gold, they exhibit a clear long-term underperformance compared to the physical metal. We…
A recent academic paper titled “An Information Factor: What Are Skilled Investors Buying and Selling?” introduces a fascinating, evidence-backed trading strategy that builds on a deceptively simple premise: Follow the money — but not just any money. Follow the informed…
The increasing accessibility of computational power and public data has recently spurred greater investor reliance on technical analysis techniques. This environment makes it feasible to evaluate and back-test various trading methodologies thoroughly. Technical analysis aims to derive an optimized approach…
In the long term, gold has proved itself as an inflation hedge, but not in the short term. Gold is often viewed as the world’s oldest financial asset, possessing a reputation as a crucial safe-haven asset, particularly during times of…
Why Bitcoin is Called ‘Digital Gold’ Bitcoin is a relatively new asset, having debuted with the white paper by Satoshi Nakamoto in 2008. While gold has existed throughout human history, Bitcoin has quickly grown, achieving a market value of over…
The options market has traditionally been considered the domain of sophisticated institutional investors, but recent years have seen a dramatic shift. Facilitated by the advent of zero-commission trading on apps like Robinhood, retail investor activity in U.S. options has soared,…
The $3.5 billion “secret”: how a bias skews S&P 500 option payoffs every month! In this blog post, we tell you how retail and prop traders make money on the options expiration day (OPEX). For investors and traders in the S&P…
In an age dominated by machine learning, high-frequency trading (HFT), AI, and complex black box models, it’s easy to believe that only the most sophisticated strategies have any edge left. But it’s not! If simple can succeed, why complicate things?…
When traders think about diversification, they often focus on spreading risk across different stocks, sectors, or asset classes. But few consider the powerful benefits of adding gold strategies to their trading portfolio. Gold has historically behaved differently from equities, bonds,…
The systematic global macro investment style, labeled Macro Momentum, is grounded in economic theory and aims to capitalize on the tendency of market participants to underreact to news by positioning on the basis of fundamental macroeconomic trends. In general, such…
While retail participation in financial markets has surged since the mid-2000s, especially following the 2020 pandemic and events like the 2021 GameStop short squeeze, retail traders often face the daunting challenge of competing with high-frequency trading (HFT) algorithms. Finding proven…
The Recession Fear Index (RFI) is proposed as a direct measure of recession concerns based on Google search activity. The development of the RFI is premised on the shift toward active information-seeking by market participants. The search frequency data derived…
Traditional equity and commodity markets frequently exhibit a well-documented pre-holiday effect, where returns on trading days immediately preceding public holidays tend to outperform other days. This anomaly is classified as one of the most substantial calendar effects in the stock…
The worst week of the year for stocks is the last week of September, after the third Friday of the month. September is a poor month for stocks, especially the week after OPEX day, which is the third Friday of…
While some prominent investors, like Warren Buffett, advocate for highly concentrated portfolios, believing diversification is unnecessary for those who “know what they are doing”, academic research and empirical evidence suggest the opposite. Nobel Prizes in financial economics have been awarded…
In recent years, the cryptocurrency market has rapidly transformed from a niche innovation into a significant segment of the global financial system. By March 2025, its total market capitalization soared past $3 trillion, with over 100 cryptocurrencies individually exceeding $1…
This post looks into a recent study titled “Does Trend Following Still Work on Stocks?” by Zarattini, Pagani, and Wilcox, which extends the foundational 2005 work by Wilcox and Crittenden. We emphasize that we at QuantifiedStrategies.com have NOT backtested or…
Have you ever wondered if it’s possible to profit from stocks that experience significant one-day drops? New research sheds light on economically significant short-term price reversals, offering insights for traders looking to refine their strategies and potentially achieve substantial returns:…
Is gold truly the inflation-proof sanctuary many believe it to be? While its allure as a safeguard against rising prices has long been celebrated, particularly after the turbulent 1970s, recent comprehensive analysis reveals a far more nuanced reality. Far from…
Do you sometimes wonder what separates successful traders from the 90% who fail? The answer isn’t better market predictions or secret indicators – it’s understanding the mathematics behind trading success. Most retail traders approach markets trying to predict where prices…
A study called Market Intraday Momentum by Lei Gao, Yufeng Han, Sophia Li, and Guofo Zhou reveals a significant and consistent pattern in market behavior: intraday momentum. This phenomenon shows that the market’s performance in the first half-hour of trading…
Most traders fear falling prices. But a downtrend can also be a blessing in disguise, especially with crypto. Volatility cuts both ways. Knowing how to act when markets decline lets you protect your capital and seize profit opportunities, even amid…
An index rebalance trading strategy is a trading strategy that seeks to exploit the price movements of stocks that are being added to or removed from a major market index. Index funds, which are passively managed funds that track a…
The stock market seems to move in a highly chaotic way, but on closer observation, you will notice that the movements follow a certain repeating pattern over the long term, as suggested by the Dow Theory. What do you know…
Since 1993, all the gains in the S&P 500 have come from owning the index from the close to the open the next day. We see the same tendency in the gold markets. Thus, we can develop night trading strategies…
The Center of Gravity (COG) oscillator stands out in the crowded field of technical indicators as a rare predictive tool that aims to anticipate price movements rather than simply react to them. Unlike most lagging indicators that confirm trends after…
While traditional equity markets have shown diminishing overnight return anomalies since 2008, cryptocurrency markets tell a dramatically different story. Recent analysis reveals that virtually all Bitcoin (BTC) and Ethereum (ETH) returns occur during overnight hours when US equity markets are…
Correlation in trading strategies , which measures the relationship between two datasets, is an essential variable for a trader. How your positions move in relation to other positions is crucial to understanding and managing risk. Correlation in trading means how…
Investing and trading for the long term, even in the most promising assets, invariably involves enduring periods of significant price declines, known as drawdowns. A drawdown is defined as the price decrease from a peak to a trough. As Charlie…
Hendrik Bessembinder, an academic, published a study in 2017 that went on to become widely spread and known. His hypothesis was pretty straightforward: do stocks outperform Treasury Bills? No, most stocks fail to beat one-month Treasury Bills during their lifetime…
Can a single trading rule really beat the market? It sounds too simple to be true, but our backtests suggest otherwise. In this article, we explore whether one straightforward rule can outperform buy-and-hold investing, both in stocks and in crypto….
Can a large language model like ChatGPT predict stock price movements by analyzing news headlines? That’s the question tackled by researchers Alejandro Lopez-Lira and Yuehua Tang in their recent paper, “Can ChatGPT Forecast Stock Price Movements?” The results are surprising…
The traditional 60/40 portfolio, 60% stocks and 40% bonds, has been the cornerstone of investment advice for decades. But what if we flipped conventional wisdom on its head? Thomas Carlson’s “Defense First” strategy, as analyzed by Allocate Smartly, presents a…
Do you sometimes wonder what are the historical returns for stocks, bonds, gold, real estate, and cash? Which asset class has performed the best over the last century? We are wondering, and we thus decided to compile all the data…
Investors love certainty, but markets rarely offer it. Still, some frameworks help us think more clearly about what drives returns—especially over the long term. One of the most intuitive was developed by none other than John Bogle, the founder of…
Momentum trading strategies are the practice of buying and selling assets according to the recent strength of price trends. Traders who use the strategy aim to buy securities that have been showing an upward price trend and short-sell securities that…
Bitcoin is a volatile beast. It doesn’t behave like stocks, bonds, or even gold. It trends when it wants to — and when it does, it often does so aggressively. That’s exactly why trend-following strategies can work well with crypto….
Today we are presenting three free mean reversion strategies. They were partially published on this website a few years back, and today we make some minor adjustments and present their performance on different ETFs. Furthermore, we discuss why mean reversion…
In May 2015, Micheal A. Gayed published a paper called Lumber: Worth Its Weight in Gold Offense and Defense in Active Portfolio Management (free download at SSRN). We used that paper to make a profitable lumber/gold ratio trading strategy for…
Jack Bogle’s famous advice was to avoid searching for individual stocks, sectors, or markets that may perform better and simply invest in the entire market. This means using index funds to build a diversified portfolio. The Bogleheads 3 Fund Portfolio…
Sometimes, trading smart means using a tool that shows you where the power dynamics in the market lie so you can play along with the big boys, and that’s where the Balance of Power indicator comes in. What do you…
Who is the best investor: Jim Simons or Warren Buffett? Jim Simons died in 2024, and Buffett retires at the end of 2025, aged 95. Thus, it might be relevant to ask: Jim Simons vs. Warren Buffett: Who is the…
For years, anyone in finance worth their salt could tell you a fundamental truth about stock market patterns: at very short horizons, like one month, stock returns tend to reverse. That meant last month’s losers often became this month’s winners,…
Why do intraday losers pop in the final 30 minutes of the trading session? This article shows you the abnormal returns obtained from buying intraday losers and what might be the reason for this anomaly. Key Takeaways What Is the…
You might wonder which time frame to watch when day trading. Instinctively, you might believe you need intraday bars, i.e., 5-minute bars, 60-minute bars, etc. However, after reading this article, we hope you are reconsidering. Can you day trade with…
The 4th of July (Independence Day) is one of the federal holidays in the US. How does it affect the US financial markets? The US financial markets do not open on the 4th of July, being a federal holiday to…
Overnight gaps are a common occurrence in financial markets, driven by news and sentiment shifts outside regular trading hours. But how often do these gaps reverse during the same trading day? What is a gap? In this article, we define…
Save or invest | Free Photo A win in the stock market can feel like a reward for effort and patience. When gains land in your account, the next move matters because small decisions can change long-term results. You can…
For swing traders, oscillators are not just valuable tools for market analysis but also a way to track the individual price swings they intend to trade, and which oscillator does it better than one that combines stochastic with RSI —…
Many trading indicators are available to traders. One of the indicators used in the stock market is the DeMarker indicator, named after Thomas DeMark, a prominent technical analyst. This indicator is a part of a trading system that incorporates bollinger…
Investing in individual stocks can be exciting and risky. One of the biggest concerns for investors is the possibility that a single stock could significantly drag down their entire portfolio. But how likely is that to happen? And what can…
Artificial intelligence continues to disrupt traditional investing, and one of the more intriguing applications is using large language models (LLMs) to analyze market sentiment. A recent study titled “Does Sentiment Help in Asset Pricing?” explores exactly that. Can we make…
Your strategy looks strong, the metrics are impressive, and the equity is sloping nicely upward. What is not to like? But think twice – here’s the uncomfortable truth: your backtest might still be worthless. Luck and randomness might fool you…
How likely is it that retail investors underperform the market? Sadly, the answer is very likely, almost a certainty. Emotional trading, lack of diversification, poor stock picking, and taxes all work against the average investor. But there’s good news: with…
Imagine investing your hard-earned money in the stock market, waiting a full decade, and seeing little to no growth, or even a loss. That’s the dreaded “lost decade” for the S&P 500, a period where the market barely budges, leaving…
Very few bullish candlestick patterns work, but this article presents 3 bullish candlestick patterns that work. Even though Candlesticks are a popular charting method, very few patterns have any predictive value. We use candlesticks extensively ourselves for charting because we…
The MACD-histogram trading strategy is a mean-reversion system that identifies momentum changes and reversal points in the stock market. The strategy has generated 6669 trades on a portfolio of 77 ETFs, with long positions better than short positions. Let’s jump…
What happens after the stock market drops sharply? Do stocks usually bounce back—or keep falling? This article explores how often the S&P 500 recovers after a big one-day drop of 2% or more. We examine the win rate and average…
Dividend stocks have long been a favored choice for investors seeking steady income and potential stability, particularly within the S&P 500, a benchmark index of 500 leading U.S. companies. With approximately 80% of S&P 500 companies paying dividends as of…
A carry trade strategy involves borrowing at a low-interest rate currency and converting the borrowed amount into another currency with a higher interest rate to invest in an asset that provides a higher rate of return. If you are active…
The S&P 500 tracks 500 leading U.S. companies, making it a reliable gauge of market health. Whether you’re a day trader, long-term investor, or just curious about market behavior, understanding the likelihood of a positive day can shape your strategy….
In the ever-changing world of financial markets, traders and investors are always seeking better indicators to improve their analysis of the markets and make better trading decisions — one interesting indicator is the Jurik Moving Average (JMA). What do you…
Opening range breakout trading strategies (ORB) are popular strategies, perhaps because of Tony Crabel’s classical trading book published in 1990: Day trading With Short Term Price Patterns And Opening Range Breakout. 31 years after it was published, we still see…
High Probability ETF Trading, published in 2009 and written by Larry Connors and Cesar Alvarez, contains some interesting strategies. They are all mean-reverting and tested on the most popular ETFs at the time of writing, which was the end of…
Want to outsmart the stock market? An insider portfolio, built on the trades of company executives and directors, might give you an edge. Can an insider portfolio beat the market? Research says it’s possible, with potential returns of 11% to…
Are you wondering if there’s a perfect day to buy stocks and boost your investment returns? Many investors have asked, “What is the best day of the week to buy stocks?” While historical patterns and market theories suggest some days…
Many traders turn to technical indicators like the Relative Strength Index (RSI) in the hope of finding consistent and objective ways to enter and exit the market. One of the more common approaches is the so-called 70-30 RSI strategy, where…
The S&P 500, a benchmark index tracking about 500 large U.S. companies, serves as a proxy for the broader stock market’s performance. Yet, data from 1928 to today shows it underperforms cash—represented by 3-month Treasury bills—roughly 19.59% of the time…
DFS platforms are changing quickly, pretty similar to fast trading in the stock market. This mix really shakes up the old ideas about skill versus luck, making us rethink how we look at market efficiency and regulations in our digital…
The term “10x stock” is often thrown around in investing circles. It refers to a stock that multiplies your initial investment by ten over a set period, usually 10 years. But how common are these elusive investments? Is there a…
Can boring stocks really outperform? Low-volatility investing is often seen as a “safe but slow” strategy. It focuses on stable, less risky stocks that don’t swing wildly in price. But what if these “boring” stocks could beat the market, especially…
As U.S. presidential elections approach, investors often wonder how the stock market, particularly the S&P 500, will perform. Election years bring political uncertainty, campaign promises, and economic shifts, all of which can influence market trends. So, what are the odds…
Volatility indicators are critical tools in financial markets, designed to measure the degree of variation in a security’s price over time. They are particularly valuable for traders and investors seeking to predict future price movements, assess market risk, and refine…
Can we make a profitable MACD trading strategy with the help of the MACD indicator and the MACD histogram? This article examines the MACD indicator and its use to create a MACD trading strategy. It explains what the indicator is…
Moving average (MA) trading strategies, such as crossover systems, are widely used to identify trends but frequently generate false signals—misleading indications of price movements that fail to materialize. These “whipsaws” can lead to losses, especially in volatile or sideways markets….
Investors have long studied the post-earnings announcement drift (PEAD) in the stock market, but new research reveals this phenomenon is also alive and well in the corporate bond market—and perhaps even more persistent. We show you a potential corporate bonds…
Making wise investment decisions in today’s erratic financial market may depend on your ability to recognize the signals of a potential market reversal. The phrase “Reversal Day” refers to a day when a stock or market index changes direction, either…
Gaps are some of the most visible and psychologically powerful events on a price chart. When a market opens above the previous day’s high, it feels like something big is about to happen—like a trend is beginning. How often do…
Have you ever wondered what happens after a market explodes in volatility? In this article, we back‑test a simple rule based on the Average True Range (ATR) and ask: Does an ATR surge predict trend continuation or a snap‑back reversal?…
Key takeaways Stochastic trading strategy (Backtest) In this section, we tested the stochastics indicator strategy using two trading styles: short-term mean reversion (overbought/oversold) and %K and %D crossovers. We tried only the S&P 500, and we used the ETF with…
The Death Cross in trading is a widely cited phenomenon in the financial media. As of writing, the media is full of stories about the price of Bitcoin being close to the Death Cross. In this article, we look at…
Golden Cross Trading Strategy is famous and a cited phenomenon in the media. In this article, we look at the performance of the Golden Cross in the S&P 500. A Golden Cross involves two moving averages – one short and…
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. In this article, we look at what is the best time frame for candlesticks: The…
The Relative Strength Index (RSI) is one of the most Googled indicators in trading. “RSI 70” is often treated as a sell signal—yet crypto traders loves to fade that narrative. We quantified who is right by running two rapid-fire backtests…
WilliamsVixFix indicator was invented back in 2007 when the well-known trader and “indicator innovator” Larry Williams wrote an article in Active Trader about VIX and how you can create your synthetic VIX for any security you like. The aim of…
Moving averages are among the most popular tools in technical analysis. Simple, elegant, and widely used, they help smooth out price data and highlight trends. But do moving average crossovers—particularly the well-known 50-day and 200-day combination—actually predict future price direction?…
Market timing is often described as a futile exercise. Yet, seasoned investors know that certain seasonal patterns can influence returns. This article concludes that October is the best month to buy stocks. One of the most persistent patterns in the…
