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 – …
Author: PJ Sutherland
→Passionate about generating and sharing quantified trading models that empower individuals to trade successfully. I founded www.sutherlandresearch.com to realise my passion.
Introduction I have the privilege of working with two of the sharpest minds in the industry. Last week I had a discussion with them via email about selecting a suitable benchmark for the strategies I run. I was specifically questioning them on the use of cash returns as a benchmark. …
One of the inputs I rely on to control risk is the simple moving average, more specifically, the 200 day simple moving average. This is a deceptively simple technique, but don’t be misled. The quantified results of this indicator make it one of the easiest and most powerful filters around. …
Short-Term Diffusion – A Type of Breadth Indicator With the launch of Trading Stocks just around the corner I thought that it would be fun this week to explore one of the quantified breadth filters that clients will have access to in our new platform. The indicator that I’ll feature …
Human beings – An Emotional Bunch! We know that human beings are not always rational when making investment decisions. Have you ever overpaid for something in the heat of the moment? What happened? Well, it’s likely that your decision to purchase was driven by emotion rather than rational reasons. I’ve …
The most recent winner of the Charles H. Dow Award, a Market Technicians Association’s (MTA) initiative to award outstanding research in technical analysis, discussed an indicator developed by Larry Williams called the VIX Fix. The title immediately caught my attention because I had independently done something very similar in a …
In the May edition of “Technically Speaking” released by the Market Technicians association there was an interesting reprint of a blog post written by Tucker Balch entitled “9 Mistakes Quants Make that Cause Backtests to Lie”. The post is clear and concise and provides an excellent roadmap that aspiring quants …
Before we discuss methods to exploit the tendency for the stock market to rise during month end, I wanted to share the performance of simply implementing the strategy in its raw form against its inverse. The results are rather impressive. EOM Strategy vs EOM Inverse Strategy Performance For the test …
We’ve investigated the best-day-of-the-week and the best-day-of-the-month, so I thought my series wouldn’t be complete without taking a look at the best-month-of-the-year. For the test I simply computed the average return for each month of the year across every liquid stock listed on the JSE since 2003 till the present …
I’ve seen studies in the past that suggest that there’s an optimal day of the week to trade. One well know trader in particular, Larry Williams (famous for trading $10K to $1.1 mill in a single year with real funds in a global trading competition) , discusses “best-day-of-the-week” as a …