I’ve been doing some research around something called External Relative Strength (ERS). ERS measures the stock’s price performance relative to all other listed equities. Basically, it measures how well or poorly a stock is performing relative to its’ peers. Our research suggests that the market has a strong propensity to …
Tag: Trading Strategy
In their excellent paper, Cole Wilcox and Eric Crittenden explore whether or not trend following strategies can achieve alpha when applied to the stock market. The vast majority of funds that operate trend following type strategies focus in the commodity and forex markets, where long-term sustainable trends driven by economic …
In this post I’ll review a simple strategy that I developed many years ago that attempts to exploit reversion to the mean. I’ve named the strategy Jaws due to the Jaw like pattern that the indicators exhibit before an entry condition occurs. The rules: Buy on the close when the …