In the last post I showed how to pick the parameters for the ARMA model. The next step is to determine the position at the close. One way to do that is by a one day ahead prediction, if the prediction comes negative (remember the series we are operating on ... [Read more...]

In this previous post, I showed that a look at the correlations in the daily returns of S&P 500 should have lead to a very profitable investing strategy. I also promised to show the results of this strategy in the 80s, but I am not going to do that, because ... [Read more...]

In his detailed research on RSI(2) indicator, MarketSci emphasized several times that the contrarian strategies based on the RSI(2) indicator didn’t start working until the 80s. I remembered this observation recently when I observed another interesting anomaly … In statistics, an important initial step in studying time series data is ... [Read more...]