Category Archives for Strategies

Using Metals to Trade Bonds

Sometimes things in the financial markets are pretty obvious if one is willing to see them.  Despite all of the angst that has been exhausted since July of 2016 – when the S&P 500 Index broke out to a new all-time high – regarding the 2016 election, the economy, interest rates and the “ultimate” effect […]

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Dual Momentum – The Famous 5 Portfolio

This article describes a Dual Momentum study over a multi-asset ETFs basket with a new attempt to improve this well-known investing style. Dual Momentum **strategies rely on two different very simple filters: absolute momentum and relative momentum**. Absolute momentum **(rule 1) is a trend following filter used to switch any selected assets that have a negative excess return over the risk-free rate to […]

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World’s Simplest Trading System

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Here’s the system: At the end of every month, * if the index is above its 10-month simple moving average: the portfolio is 100% in the market * if the index is below its 10-month simple moving average: the portfolio is 100% in cash  And that’s it. So, if we take the FTSE 100 Index […]

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Sharpe Ratio – the right answer to the wrong question?

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Sharpe was the right answer First, let’s start with what Sharpe does well. There are two things it does well: Cross-asset unified measure: we all know that the most important component in alpha generation is asset allocation. Now, the difficulty is to have a single measure of risk-adjusted measure of alpha. This is where Sharpe […]

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