In this post we’re going to continue our work with the Consistent Momentum strategy that we explored here. Initial investigation of the strategy (kindly provided by the good folk at Quantpedia) proved to be relatively good, with a CAGR of +19% and a single losing year through the test period. …
Category: Backtesting
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 …
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 …
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 …
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 …
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 …