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You are here: Home / Archives for Performance Measures

March 20, 2018 by Corvin Codirla 5 Comments

Why Would You Want to Invest in Bonds?

Why Would You Want to Invest in Bonds?

Of all things on this planet?!  Aren’t they boring?  Not explosive enough?  Isn’t this stuff what old people invest in?  Also, aren’t they supposed to start to sell-off?  And how do you get your hands on these over the counter instruments. In the first article of this series on Creating Profitable Trading Strategies  we started […]

Filed Under: Market Dynamics Tagged With: Backtest, Bonds, Performance Measures, Sharpe Ratio, Trading Systems

November 8, 2017 by Corvin Codirla Leave a Comment

Equities Mean Reversion

Equities Mean Reversion

Equities mean-reversion works right now. And as part of Building Consistently Profitable Trading Systems it forms a key component. In this article we’ll present the final version of the mean-reversion system to form part of the trading toolbox, and the final portfolio. It’s the Larry Connor’s RSI2 strategy.  And it’s based on the two concepts […]

Filed Under: Trading Strategies Tagged With: Backtest, Kelly, Performance Measures, Sharpe Ratio, SP500, Trading Systems

November 1, 2017 by Corvin Codirla Leave a Comment

Equities Mean Reversion and Market Regimes

Equities Mean Reversion and Market Regimes

In this second part of the Mean-Reversion in Equities series we’ll cover the reasons behind why mean reversion works in various market regimes. In the previous article we combined the idea of looking at two consecutive down-days combined with buying the S&P 500 while it was below its five day moving average. A question that […]

Filed Under: Trading Strategies Tagged With: Backtest, EURSEK, Mean Reversion, Performance Measures, SP500, Trading Systems

October 17, 2017 by Corvin Codirla Leave a Comment

Equities and Their Mean Reversion Habits

Equities and Their Mean Reversion Habits

At last!  We’ve made it to the mean-reverting part of the series, starting with our focus on equities and their mean-reversion habits. So, here’s the deal.  We’re going to keep it simple, just like in the previous three posts, and start from the ground up.  Over the following series we’ll culminate in a simple, straightforward […]

Filed Under: Trading Strategies Tagged With: Backtest, Market Timing, Performance Measures, Sharpe Ratio, SP500, Trading Systems

October 3, 2017 by Corvin Codirla 5 Comments

Taking Control of Your Trading Numbers

Taking Control of Your Trading Numbers

Taking Control of Your Trading Numbers – that means actually being able to replicate the results that others produce.  It’s the only way to be sure that you know what’s going on. Well, many people got back after last week’s article asking about the details of the calculations as well as about some of the […]

Filed Under: Trading Strategies Tagged With: Backtest, Performance Measures, Python, SP500, Trading Systems

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