Quantitative analysis and strategies in the financial markets
We don’t recommend scalping. Scalping is hard. Scalping is a waste of time because it involves competing with better-equipped traders and institutions and you need to deal with lots of
Continue readingHow to find trading edges in the markets is crucial for surviving as a trader. The financial markets are a competitive place where amateurs and beginners are easy prey for
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 trading strategies, often called algorithmic strategies. But what exactly are quantified strategies? Quantitative/quantified trading strategies defined: Quantitative strategies are strategies based on finding inefficiencies
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. The RSI has proven to be a valuable indicator/tool for mean reversion in the
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%. Is this a coincidence? Perhaps
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 readingEU residents can’t trade US-domiciled ETFs from 2018 because of EU legislation that most US-registered ETFs have not bothered to deal with. Is it still possible to trade US ETFs
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 (TLT) 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
Continue readingSome days ago we published an article that rotates between SPY, TLT, and EEM based on monthly momentum. Today we look at a similar ETF sector momentum/rotation strategy but we exclude
Continue readingDo stop-losses really work? We are “brainwashed” to believe that you should always have a stop in place. But, perhaps surprisingly, stop-losses normally just make a strategy perform poorly. Stop-loss
Continue readingSector rotation is popular and this is not without merit. The idea is to be in the sector that shows the best recent momentum. Today we present an ETF momentum
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: The classical mean reversion strategy in the S&P 500 In plain English the strategy
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 (QQQ). How has this strategy performed during the Covid-19 mess? Pretty good, actually. I’ve been trading this strategy,
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. Let’s test his idea and turn it into a testable hypothesis: The
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
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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%. In this article, we calculate
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
Continue readingMany traders want to take the leap and go full time. Being a full-time employee while your real passion is trading, can drain your energy. It’s frustrating because your mind
Continue readingThis article is off-topic, but in my opinion quite important: Because of the strict regulation to clamp down on money laundering, small businesses are suffering. The regulation has unintended consequences.
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For years I have been trading (semi-automatically) using a simple script in Excel. Having focused solely on stocks since 2001, I decided to start looking into futures in early 2017.
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Rob Hannah published last week a potential strategy on his blog Quantifiable Edges. Buy when the S&P 500 makes a new high? Intraday high breakout trading strategy I put a
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