Quantitative analysis and strategies in the financial markets
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
Continue readingOn 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.
Continue readingThe 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
Continue readingWe 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
Continue readingFirst 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
Continue readingToday 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
Continue readingHigh 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
Continue readingLarry 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
Continue readingMoving 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
Continue readingThis 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
Continue readingThe 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
Continue readingThe 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: Extremely inexpensive equities that are worth substantially less than what they cost. – Don Staricka Penny stocks attract a lot of attention, both among investors and traders, but
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)
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