The reason is the normal distribution of returns. Let's suppose you want to bet only on the long side. For every 10% up move, there is going to be...
Hi all, Let's assume that a certain aspect of the price movement is a random distribution process. We plot two points on the distribution curve...
I agree, backtesting is just another way of curve fitting - selecting trading rules that perform well on a particular data segment. Seven years?...
Here are some more charts from Wednesday's session. This time from the first few hours of trading. When the Primary Momentum (based on the...
It is not yet a complete trading system that can be backtested. It is a method of indicating trading opportunities - an edge.
Apparently other market participants detect the same inefficiencies using their own methods and enter orders to take advantage of them.
I am pretty sure it will, for two reasons. One, the inefficiencies will continue to exist. Two, the model is not a result of data mining,...
I decided to show the inefficiencies in the form of divergences between two oscillators (of the same order, frequency, normalization, etc.)...
How do your generated reversal signals compare to price/momentum divergence signals? In the case of price/momentum divergence, you compare a...
Instead of searching for an edge through data mining, how about designing an edge? I came up with a theory how the market "should" move and...
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