al_dcdemo's Blog

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Strategy Contest - May 2023 - Article

In the first article in this series I outlined some general principles behind the strategies that I've been using in the contest. In the second article I described a simple process that can be used to improve the strategy, in terms of its entry signal. In the third article I explained why I switched to using mean-reversion entry signal instead of a trend-following one. This is also the strategy that I used in the May's contest.
Below you can see the updated table with the expected prize mo…
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Strategy Contest - December 2022 - Article

In the first article in this series I outlined some general principles behind the strategy that I'm currently using in the contest. In the second article I described a simple process that can be used to improve the strategy, in terms of its entry signal.
After I published the second article, I also backtested the "reverse" versions of all three strategies. Instead of taking positions in the direction of the short-term momentum, these strategies do exactly the opposite: take mean-reversion trades…
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Strategy Contest - October 2020 - Article

In the previous article I described some general principles behind the strategy that I'm currently using in the contest. I encourage you to read it, because the information in it is relevant to this article, in which I will describe a simple process that can be used to improve the strategy, in terms of its entry signal.
To recap, the basic properties of the strategy are:
[list][/list]…
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