Recent content by academic

I'm sure they are just brilliant in their trading signals and analysis. Is it written in crayon?

How could you use a service from people who don't know how to spell? "our twitter channel, your inbox or you mobile phone" -> your mobile phone "Your not dependent on market direction" -> You're not dependent

You want a simple buy limit order. A buy stop will buy when the price reaches a certain upper threshold and its used to protect a short position.

After John's slick sales pitch (above), no one is going to want to use PTF let alone buy your dodgy license.

If they're making money using MAs, that's great, but I agree with you, I thought it was a bit strange to be applying them as these guys seem to be doing. Specifically, I don't know why they would be looking at an MA and std deviation that is calculated on such a short window. It's more logical...

Or maybe we are underestimating the power of money printing?

You already do your analysis in MATLAB, why not automate your system and trade in MATLAB? I guess everyone has their own style.

Have you ever tried to backtest this system? I'm curious as to what long term results you get and why you use a 20 day moving average and 20 day moving stddev.

I think you're right. I'm looking at a standard deviation that's calculated over a moving window of about 2 years. When the spread pushes past 2 stddev, it doesn't catch up so much as it does for you guys. Obviously, I'm looking at pairs with a long term cointegration (years) and I'm looking...

This does not make the sharpes ratio useless. If you can guarantee small but consistent profits, all you have to do is leverage to the moon and you can be extremely profitable.

I've seen pair spreads that pushed past 2 standard deviations and made it to 3. No disrespect intended, but I think you might have just been lucky if your experiences have shown pairs not to spread past 2 stddev. I don't see the benefit of using a % from the mean rather than standard...

In mean reversion strategies you have some justification to double down on a losing position, but if you keep your "bailout" point too far away (in terms of standard deviations) then you risk making a serious loss in the event of a merger or the pair relationship falling apart. I'm...

At how many standard deviations away from the mean would you guys normally give up on a spread trade? When do you say "something's wrong, I'm bailing out"?

No disrespect to Richard Dennis, but how can you say that was a good call when he called it 20 years too early?

http://en.wikipedia.org/wiki/Due_diligence