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You are here: Home / Archives for Sharpe Ratio

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 15, 2017 by Corvin Codirla 2 Comments

Trading Mean Reversion in Currencies

Trading Mean Reversion in Currencies

Mean Reversion trading works for equities; and currencies. We saw in the last article how combining two simple ideas for equities produced a stable system over the last 30 years. Can we repeat a similar analysis for currencies? Yes!  However, be warned.  Currency trading is a different magnitude of difficulty to equity trading.   Currency traders […]

Filed Under: Forex Trading Strategies Tagged With: Backtest, EURUSD, GBPUSD, Market Timing, Sharpe Ratio, Trading Systems, USDJPY

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

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 10, 2017 by Corvin Codirla 1 Comment

Dangers of Backtesting, Over-Leverage and the Need for a Protective Stop

Dangers of Backtesting, Over-Leverage and the Need for a Protective Stop

Backtesting and Over-Leverage are the bane of any systematic trader. A shout out to Peter who raised both these points on the previous article in the series: Trading Numbers So, what are the two issues we’ll address in this week’s article: Look ahead bias, and is it really that bad? Kelly is always touted as […]

Filed Under: Money Management Tagged With: Backtest, Kelly, Sharpe Ratio, SP500, Trading Systems

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