Blog Archives

Do momentum strategies work for weekly stock returns?

Gutierrez and Kelley (2008), from the University of Oregon and the University of Arizona, hypothesized that weekly stock returns would show a momentum effect. They were aware of research from the 1990s that found a short-term reversal effect. In those

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Do momentum and trend-following strategies work in futures markets?

Shen, Szakmary, and Sharma (2007) – from Alabama A&M University, the University of Richmond in Virginia, and the University of Southern Illinois in Carbondale – conducted basic momentum tests on commodity futures at the end of each calendar month, for

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Does momentum-trading work with monthly charts, part 1

Molchanov and Stork (2010), from Massey University in New Zealand, examined monthly returns, from 1992 through 2007, of 220 of the world’s largest and most liquid stocks. The stocks came from five regions: United States (Dow Jones Industrial Average, 30

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Book Three: Trading With The News

Learn about a news-based trading system that yielded a back-tested, average annualized, compounded return from 2000 to 2011 of 58.6%.

“Only once you’ve done your homework will you be able to understand how the stock market works and learn to distinguish between news and noise.” Maria Bartiromo, Use The News

Book Two: Technical Analysis

Learn about the "trend recalling" algorithm that yielded researchers a simulated annual return of greater than 400% in multiple tests.

“The scientific method is the only rational way to extract useful knowledge from market data and the only rational approach for determining which technical analysis methods have predictive power.”
David Aronson, Evidence Based Technical Analysis

Book One: Analysts’ Forecasts

Learn the strategy, based on analysts' revised forecasts, that yielded researchers an average of 1.13% - 2.19% profit per trade, for trades lasting one to two days?

Learn how certain analysts' recommendations, following brokerage hosted investment conferences, yielded profits of over 3% during a two-day holding period?

Learn how researchers found an average profitability of 1.78% for two-hour trades following an earnings announcement?

"This set of tools can help both ordinary and professional investors alike to re-think and re-vitalize their stock picking, timing and methods. A young, aspiring Warren Buffet could put this book to good use."
James P. Driscoll, PhD, investor

Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments by David Aronson (software included)

Evidence-Based Technical Analysis by David Aronson

Archive of Earlier Posts