Saul Sala

1,018 Flips | 1 Magazine | 2 Likes | @rarica77 | Keep up with Saul Sala on Flipboard, a place to see the stories, photos, and updates that matter to you. Flipboard creates a personalized magazine full of everything, from world news to life’s great moments. Download Flipboard for free and search for “Saul Sala”

Profiling Correlations, Part II: Alternative Strategies

Last month’s review of return correlations highlighted the challenge of finding strong diversification opportunities among the major asset classes …

Considering Skewness Of Returns As A Risk Metric

Intech Investment Management recently published a primer on monitoring market stress by way of several risk metrics, including skewness of returns …

XIV Barbell Strategy

Well that was fun! I have been telling my trading buddy and anyone else that would listen that I fully expected XIV to open at zero one day. Now I …

Profiling Asset Allocation Strategies With Style Analysis

In a series of recent articles I reviewed how style analysis can be used to replicate investment strategies and indexes using only historical returns …

Event Study Walkthrough in Excel

How to Calculate Fama French 3 Factor Alpha

Best Practices of Best Traders

Here is the link to the recent Best Practices of Best Traders webinar sponsored by Futures.io. <br>The sound quality is not great in the very first …

How to Trade the MACD: A High-level Analysis of the MACD Line Feature

<b>Moving Average Convergence Divergence (MACD) is one of the most popular technical indicators used by traders.</b>It is a flexible indicator that can be …

Case study: Can a simple Market Internals technique actually improve trading strategy results?

In my 10+ years’ full-time trading career, I have found very few tools and tactics that would get my attention so deeply as <b>Market Internals</b>.In 2014, …

FX Order Flow as a Predictor

Order flow is signed trade size, and it has long been known to be predictive of future price changes. (See Lyons, 2001, or Chan, 2017.) The problem, …

Equity Curve Monte Carlo Analysis

Imagine the following. You spent time developing a strategy with a compounded annual return of 24% and max drawdown of 18%. Profitable 10 of the last …

Can You Short The S&P Successfully?

A short signal for the S&P500? Believe it or not, some do exist. Although these can often be hard to find they can also contribute greatly to your …

The Top 5 Lessons For Trading Anything

<b>“How did you feel when you bought that position?”</b><p>An odd question, perhaps, but I heard it every week during my first year at SAC Capital in the late …

Stock Markets

Skis and Bikes: The Untold Story of Diversification

The post Skis and Bikes: The Untold Story of Diversification appeared first on GestaltU.

Optimizing trading strategies without overfitting

By Ernest Chan and Ray Ng<br>===<br>Optimizing the parameters of a trading strategy via backtesting has one major problem: there are typically not enough …

Vacaciones de lujo sobre el agua... y sin licencia

Le Boat ofrece la posibilidad de capitanear barcos por Europa y Canadá sin experiencia<p>El precio parte de 590 euros por siete noches en una de sus …

Here It Comes: The Longest Streak Ever Without A 3% Correction In US History

<i>Via LPLResearch.com,</i><b>2017 continues to break records, as the S&P 500 Index makes new highs amid historically low volatility:</b>• The index has now gone 33 …

The ABCs of creating a mean reversion strategy – Part 1

I was recently interviewed on Better System Trader, click here for part one of the interview, about the steps for creating a stock mean reversion …

The Value Momentum Trend Philosophy

If you've been reading our blog for a number of years you're 1) probably a finance geek, and you're 2) probably tired of us discussing the following …

Asset Class Total Returns Over The Last 10 Years

Below is a look at our asset class performance matrix showing total returns for key ETFs that we track on a regular basis. Since today marks the …

Replicating Indexes In R With Style Analysis: Part I

In the quest for clarity in portfolio analytics, Professor Bill Sharpe’s introduction of returns-based style analysis was a revelation. By applying …

Visualizing The Real Test For Market Bulls (In 1 Simple Chart)

As <i>StockBoardAsset</i> shows on the 24-year monthly ratio chart below, bulls have pushed the S&P:VIX price into <b>uncharted territory this year</b>.<p><b>The REAL test</b> …

Stock Markets

When Will The VIX Spike Next?

The VIX has been trading near all-time lows largely due to money printing by global central banks via quantitative easing (QE) which remains at …

Getting Started with Neural Networks for Algorithmic Trading

If you’re interested in using <b>artificial neural networks</b> (ANNs) for algorithmic trading, but don’t know where to start, then this article is for you. …

Secret Weapon of Stock & ETF System Development

This is the second article in a two-part series where I discuss the top three pitfalls when backtesting Stock & ETF trading systems. In the first …

Indicator Comparison: Ehler My Stochastic Indicator, RSI and ConnorsRSI

Like all traders, I am always on the lookout for any new indicators better than the ones I am using. I have been using and promoting RSI2 since 2004 …

Protecting Your Blind Side - Hedging & Spitznagel's Tail Strategy

<i>Authord by 720Global's Michael Lebowitz via RealInvestmentAdvice.com,</i><b>Protecting your Blind Side</b>“<i>The price of protecting quarterbacks was driven by</i> …

What Is The Value Of Technical Analysis?

A recent post from the excellent Mathematical Investor blog questions whether the use of chart patterns and technical analysis truly offers value in …

StockTwits Sentiment Analysis

By Colton Smith<br>===<br>Exploring alternative datasets to augment financial trading models is currently the hot trend among the quantitative community. …

The Worst Time of the Year for Stocks

I’ve crunched the entire history of the Dow Jones Industrial Average and come up with the average year for the index. As it turns out, we’re about to …