In my last post we explored a momentum strategy applied to the USA markets that was provided to us from the good guys over at www.quantpedia.com. One of my readers set about quantifying the same strategy on the JSE and shared their results with me. With permission and thanks, I pass …
Blog Posts
It’s been some time since I last posted so what better way to start than by quantifying and exploring a momentum strategy that was first introduced to me by the good guys at Quantpedia (www.quantpedia.com). If you haven’t heard of this site before, then I encourage you to check it …
Several interesting changes took place in some of the core indicators that I track to gauge broad market health during the past couple of days which I’d like to share with you. The JSE indices provide a very warped view of the market due to their cap-weighted construction which assigns …
You have no doubt by now heard about the market debacle which is Steinhoff. The price of the company dropped by an astounding -82% in the past five days, destroying hundreds of millions in value. Given the broad inclusion of the stock in the professional asset management space (unit trusts, …
Mean reversion strategies rely on the premise that extremes in price eventually revert to the mean price over time. They are effective during established markets – bull, bear or sideways – but unfortunately do not perform well during market regime changes or tail events. Tail events are outcomes that have …
I was recently asked to be interviewed by Andrew Swanscott who runs bettersystemtrader.com. If you haven’t heard of this site before, it’s well worth a visit. Many of the trading legends that I have studied during the past ten years have shared their insights with Andrew during a Podcast. I …
In my last post we contrasted the effects of data integrity and sample size on the backtested performance of mean reversion and trend following models. In today’s post we’ll explore which markets are most suited to each approach, but before we do that, let’s quickly take a look at why …
The Sharpe Ratio A well-known and often quoted measure of risk is the Sharpe ratio. Developed in 1966 by Stanford Finance Professor William F. Sharpe, it measures the desirability of an investment by dividing the average period return in excess of the risk-free rate by the standard deviation of the …
Introduction A blog series to contrast the key distinctions between trend following and countertrend strategies during building, testing and trading. In this post we examine the effects of data integrity and simulated trade sample size on backtested performance. Price Data Integrity One of the major obstacles for traders looking to …
Short-Term Diffusion Enhances Trade Signals Following on from my previous post, in which I discussed a similar short-term diffusion approach, I’m going to share the performance of another simple breadth indicator this week. This study serves to confirm that breadth is a valuable addition to any trader’s toolkit. QuantTrade – …