Is the Stock Market Different?

Overall, we expect the stock market to go higher. There is a good reason for that – the stock market is positive close to 54% of the days. A natural questions is whether this holds for other markets as well. There is inflation after all.
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Trading Autocorrelation?

Markets are very smart in absorbing and reflecting information. If you think otherwise, try making money by trading. If you are new to it, make sure you don’t bet the house.

In other words, markets are efficient. At least most of the time. So then why people trade? The general believe is that there are windows during which prices of certain assets are inefficient. Thus, there are opportunities to make money. Is the presence of autocorrelation one such opportunity? Let’s find out.
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All Clear on the S&P 500

Finally the S&P 500 cleared the 200-day moving average on the adjusted returns (here is the R script). This happened last week, as of the Wednesday’s close. The close was $208.94, and the index is currently trading lower. Was that a fluke just to lure traders back in? Time will tell.

When is a Backtest Too Good to be True?

One statistic which I find useful to form a first impression of a backtest is the success/winning percentage. Since it can mean different things, let’s be more precise: for a strategy over daily data, the winning percentage is the percentage of the days on which the strategy had positive returns (in other words, the strategy guessed the sign of the return correctly on these days). Now the question – if I see 60% winning percentage for a S&P 500 strategy, does/should my bullshit-alarm go off?
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Where Does the S&P 500 Stand?

Last week was brutal for pretty much all markets. Surprisingly, it was bad even for the US dollar. The sharp and straight downward move was reminiscent of the descent of 2011. It’s time to review where does the major index stands from technical point of view.
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Tradelib is Open Source

Tradelib is my framework which I have been using for backtesting and signal generation in my futures trading. My feeling is that it might be useful to others, and I have decided to open source it.

Unfortunately, I don’t have the time at the moment to open source any strategy implemented with it, and I am also too lazy to provide a step-by-step guide for it. If you have an interesting strategy which you don’t mind sharing with the rest of the world, let me know, and I may consider implementing it and adding it to the repository as an illustrative example.

Interactive Brokers Now Supports Continous Futures

I just noticed that Interactive Brokers has added some support for continues futures contracts! For me that’s a great feature and I certainly hope they will expand on it in the future. I’d love to see them providing automated roll over support and a continuous data feed – as a paid service, of course.
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