INTRODUCTION Since the relatively successful results of the stock trend screener (HERE), I have been obsessed with poking holes into it. I mean, something too good to be true, usually is. One of the criticisms I could think of (and has been pointed out by other astute observers on twitter), has been the fact the …
If you’re reading the series on development of the stock trend screener for the first time, please go through the following articles first to develop some context:1. AC and LR strategy for stock trend detection, backtested (naively): https://alphaleaks.info/stock-trend-backtest-using-ac-and-lr-criteria/2. Improvement of the previous backtest: https://alphaleaks.info/stock-trend-backtest-using-ac-and-lr-criteria/ INTRODUCTION This is the penultimate article exploring stock trend detection strategies. …
In the last article I put out, conducting a backtest on the AC and LR criteria for stock trend identification and robustness, the process was naive and mainly showcased as a proof of concept, that this signal is viable. Those who missed it, can read it HERE.The test suffered from multiple limitations, some of which …
Trends in markets are a brilliant phenomenon. Its simple to observe, compute, and act on, and it just works. Something going up, will keep going up. But the simplicity hides quite a few intricacies.1. How much up is good enough to be called up?2. Is the up accompanied by heart attack inducing downs once in …
Monte Carlo is a term you’d be hearing a lot when talking about equity curves along with terms like “path dependency”. This post is NOT about Monte Carlo. The problem with this term is that it comes with a lot of baggage. The baggage is not in what Monte Carlo is, but how to go …
Since May has begun, thought I’ll do a small piece of research to provide a look into what actually to Nifty happens in the May to October time frame versus November to April time frame. Data derived from NIFTYINDICES website (Nifty data from 2000-2023 April). First let us look that the returns from the two …
This blog piece is based on questions asked to me a while back by Gaurav Rungta (@grt_0101) on twitter. The question was regarding t-test and its utility in context of backtests. While this can be treated as a super expansive topic, I’ll try to approach this from a very basic perspective so that maximum people …
