[unable to retrieve full-text content]I have examined the naive DFT strategy in a prior post. Only recently have I been able to quantify just how astounding the figures are if you trade the strategy cost-free. Starting with $2,000 in 1975, you end up with $3.4 billion dollars at 31 Aug 2011 – a rate of compounding [...]

Posted by Student on August 28, 2011 Accounting for trading costs is in my book the top failure of most technical analysts: If you have a signal that generates a high zero-cost return, but trades so often that you definitely incur a lot of commissions, do the costs eat up all of the returns? Because [...]

This week has given rise to a host of extremely odious arguments from non-finance specialists, media people, and regulators. People who do not think and therefore, per Descartes, should not exist. I here use my soapbox to share thoughts with my readers who deserve better. Robots. People have raised the specter of HFT/algo trading to [...]

Posted by Student on August 9, 2011 Because there has been 6 months’ worth of price movement in the past week I thought I better update the standard files we use at PDT as of August 8. I have spent some time reformatting the data structure so hopefully it makes more sense now. If you’re [...]

Posted by Student on August 6, 2011 Now that the downgrade we discussed in CFDAlert (on July 20, in an unposted email “Suddenly Everyone Is So Happy! Buy!!”, and in The Coming US Downgrade) has happened, it is a very open question what will happen to our markets on Monday as the STI will be [...]

Posted by Student on August 4, 2011 I got a minor shock when I found these two charts: This is a Research Affiliates paper so it carries extremely high credibility. The paper arrives at this forecast via a complicated route – forecasting GDP per capita growth instead of simply GDP. Also it takes the assumption [...]

Don’t tell anyone, but a big part of today’s sizable 38 point drop in the STI surely had NOTHING to do with: the US debt crisis the US PMI crisis the US employment situation crisis the EU debt crisis the China overheating crisis the Japan reality denial crisis the Australian housing crisis the Brazilian stock [...]

Posted by Student on July 28, 2011 Is there any quantifiable pattern to how newly listed stocks perform after IPO? I have been meaning to do this particular study for a while now although I was held up by a big question of how to obtain and then properly organize the relevant data. I think [...]