Trading Order Out of Chaos
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 […]
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 […]
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 […]
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 […]
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 […]
This week’s article is more tongue in cheek: do natural phenomena affect the markets? What we’ll be particularly looking at are the full moon, new moon, and solar eclipses, especially since we had one on the 9th March this year. Back in 2005 I wrote a similar article at Barclays Capital for the weekly quant newsletter we sent out to clients. It was a summer lull, and it seemed like a swell idea. The results back then indicated that it was the New Moon rather than the Full Moon that really imp…
In this article I’ll follow up from Part I, on using the UK Services PMI to trade the GBP. The questions we’ll answer are:Let’s cover the main themes that affect the Foreign Exchange Rate:
- What economic indicators for GBP are out there and which can we use?
- How do you set up a macro system?
- What does it mean to trade a basket of currencies against GBP, or is there a preferred pair to trade?
- Inflation: influences Central Bank behaviour, but also tells us about price increas…
Kelly betting is an optimal approach to allocating capital to your system. In this article I want to show you how to apply this approach to your trading, and more importantly what kind of interesting questions you can answer using the ideas behind Kelly betting, in particular: “How long does it take to double my money?” First let’s start out with a simple example and progress to actual markets and trading systems. The example is as follows, and tends to be an interview question for a…