I’m a Survivor
Survivorship Bias is one of the most important issues that faces anyone doing quantitative analysis of technical models. Finally we have the ability to see how much it effects our results.
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Volatility Breadth
At the core of any Market Breadth measure is the idea of counting stocks in an uptrend verses those in a downtrend. Most measures totally ignore volatility. In this post we explore a volatility adjusted breadth measure with some interesting results.
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Correlation Cycles
Correlations are an important tool in portfolio construction. But are you aware of the dangers that nearly every analyst ignores? In this post we will review what correlations are, how it can be used to diversify risk and what the dangers are that you have to be aware of.
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Market Update – The sky is falling….or is it?
Many analysts are crying that the markets are overextended. Are they? An accidental look at previous recoveries may tell a different story.
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The Danger Of Weekly Scripting
I want to take a different approach in this post. Often we talk about the breakthroughs that we are working on, or the market in general. This time I want to draw attention to a testing error that I’ve seen others perform—and it’s all to do with understanding data.
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