One approach I've used in the past, with reasonable success, is along these lines:(very important): Figure out what timeframe you're interested...
Proposition 1: If you are a good poker player, then you will also be a good trader. Proposition 2: If you are a good trader, then you will also...
Several very profitable mechanical trading systems use ONLY the close when calculating their buy and sell signals. For them, the high and low are...
And here is the raw data which created the plot. (Only one attachment per post here on ET)
Here is a plot of the premium between the eMini S&P futures, and the cash S&P index itself. The expected "sawtooth" behavior is clearly visible;...
Alas this arbitrage play has already been discovered and exploited. As a result the S&P futures always trade at a premium to the S&P cash. Plot...
Sounds like a good homework assignment for a college class! If I were the professor, I'd be looking for answers such as "Very Light Jet (VLJ) air...
The first system developed and sold by Futures Truth was called "Universal" with a longer-term variant called "Universal LT". It is tracked in...
Ralph Vince's first book. Exponentially more impactful than other books, for me.
1. Make it as easy to modify the composition of a portfolio, as it is to modify the value of a parameter. Treat the portfolio composition as an...
Jack Schwager's very first book contains a section (within chapter 27) called COUNTER-TREND SYSTEMS. You might recognize Jack's name, he also...
Have you looked at Trading in Choppy Markets: Breakthrough Techniques for Exploiting Nontrending Markets by Robert Barnes? It is selling for...
Equity volatility arbitrage International statistical arbitrage Closed-End Fund arbitrage Capital structure arbitrage Odd-Lot Mortgage...
Another search term is "synthetic data". This post has some references to books that give algorithms for creating synthetic data.
A shame that the Chart facility in Excel doesn't have a spell checker. Type "likelyhood" into dictionary.com (or MS Word) to see what happens.
It's realistic to expect that your long term average value of "MAR Ratio" will be in the vicinity of 1.0. This is over a three to ten year...
George Carlin claims that kids of his generation who swam in the East River (NYC) have incredibly strong immune systems. I'm sure he means, the...
Good name, "Robin Hood Investing." You rob from the rich and give to the poor.
Many people think there are only two types of trades: winning trades and losing trades. But that simply isn't true, there are four types of...
CEO Otellini is in a good position; if Intel improves, he gets the credit. If not, Craig Barrett gets the blame. For Otellini, the payoff...
Separate names with a comma.