Archive for April, 2009
Five random strategy-development thoughts swimming around in me noggin’ re: creating better risk-adjusted (i.e. smoother) returns… Method #1: Trade Low/Negatively-Correlated Assets This is the obvious solution that even Markowitz would approve of, but also the one that I use the least. I only trade equity-related assets (vs bonds, commodities, etc.), not because I want to, but [...]
Filed under: Trading Strategies | 18 Comments
A quick note about the part of MarketSci that actually pays the bills: our own independently-audited trading strategies. Starting this week, I’ve begun sorting all of the summary stats on our Strategies page from the most to the least aggressive program to help folks better understand the difference between them. Summary stats updated through 03/2009: Note [...]
Filed under: My Performance | 2 Comments
Links
A few items grabbing my attention this week… Eric Rosenfeld’s Analysis of LTCM at MIT Hat tip to the Big Picture and Skill Analytics (warning: video about an hour long) I’m always fascinated by peeks inside LTCM and its collapse. I have a number of thoughts RE: Rosenfeld’s presentation, most of which could be summed up [...]
Filed under: Random Stuff | 2 Comments
We’re poking around the edges of the McClellan Oscillator this week – read the previous parts of the series here, here, here, and here. I’ve been toying with a new approach to analyzing advancing/declining numbers that I haven’t seen elsewhere – I’ll call it the McClellan RSI(2). Basically, I’ve married the advancing/declining numbers used in [...]
Filed under: Trading Strategies | 8 Comments
This post is going to seem like I’m picking on the McClellan Oscillator (MO), but I’m really not – I’m trying to make a bigger point about technical indicators in general. This week we’ve been looking at the MO indicator and what it says about the broader market (read part one and two). So far, [...]
Filed under: Trading Strategies | 8 Comments
