I have learned some years ago that ETF's are strange and wonderful creatures. Simple, long-only mean-reverting strategies that work very well on ETF's, won't work on their component stocks. (Check out a nice collection of these strategies in Larry Connors' book " High Probability ETF Trading ". ... Read more

Let me talk about a topic that is far more mundane than the usual high-brow theoretical discussions of strategies and algorithms, but that has no less long-term impact on the bottom line: what is the best office environment for research and execution of quantitative trading strategies? I have work ... Read more

I confess I don't know much about flash orders, not being one of the Big Boys on the Street, until I read that the SEC is banning them . (For a clear diagrammatic explanation of flash orders, see here . For a refutation of some of the myths and misunderstanding surrounding flash orders, see her ... Read more

It occurs to me that the only way in which a trader can become more than a completely selfish, self-enriching, narcissistic person is to trade well enough so that you can manage other people's money and thus saving these investors from crooks and charlatans (provided you are convinced you are not a ... Read more

Author Malcolm Gladwell, in his fascinating bestseller " Outliers: The Story of Success ", cites neurological research showing that "10,000 hours of practice is required to achieve the level of mastery associated with being a world-class expert." This seems to apply across many d ... Read more

Paul Teetor, who guest-blogged here about seasonal spreads , recently wrote an article about how to test for cointegration using R. Readers who don't want to pay for a copy of Matlab should find this free alternative with similar syntax quite interesting ... Read the full post ... Read more

I have given a 2-part interview ( here and here ) on the various nuances of backtesting on tradingmarkets.com. Most of the ideas have been covered in my book , but it does serve as a summary of what I consider to be the most important issues. For those of you who are interested, I may be giv ... Read more

Triple leveraged ETFs marketed by Direxion have been all the rage lately. The fund management company says that they do not recommend buying and holding these ETFs. But is there any mathematical justification for this caution? Before I answer this, it is interesting to note that these ETFs (e.g ... Read more

For readers who do not want to pay for a commercial Matlab2IB API, Max Dama has put together a free alternative. Domenic has provided some additional sample Matlab codes for trading. A user of the commercial product that I previously mentioned reports that "My problem with the matlab2ib prod ... Read more

You can find an interview of me in the July 2009 issue of Technical Analysis of Stocks & Commodities magazine . I mentioned in that interview and also in my book that I believe stop loss should only be applied to momentum strategies but not to mean-reverting strategies. I explained my reason ... Read more