quintuitive.com
Trading Moving Averages with Less Whipsaws - Quintuitive
http://www.quintuitive.com/2015/06/21/trading-moving-averages-with-less-whipsaws
Quantitatively Intuitive Views on Markets. Trading Moving Averages with Less Whipsaws. Using a simple moving average to time markets has been a successful strategy over a very long period of time. Nothing to brag home about, but it cuts the drawdown of a buy and hold by about a half, sacrificing less than 1% of the CAGR in the process. In two words, simple yet effective. Here are the important numbers (using the S&P 500 index from 1994 to 2013, inclusive):. First we apply the moving average not to the pr...
quantstrattrader.wordpress.com
A Review of Alpha Architect’s (Wes Gray/Jack Vogel) Quantitative Momentum book | QuantStrat TradeR
https://quantstrattrader.wordpress.com/2016/10/13/a-review-of-alpha-architects-wes-grayjack-vogel-quantitative-momentum-book
Trading, QuantStrat, R, and more. A Review of Alpha Architect’s (Wes Gray/Jack Vogel) Quantitative Momentum book. October 13, 2016. So, let’s start with a summary of the book:. Generally, I feel like there’s work to be done if this is the best that can be done, but okay, I’ll accept it. Next, part two is where, in my opinion, the real meat and potatoes of the book–the “how”. Essentially, the algorithm can be boiled down into the following:. All in all, it’s a fairly simple to understand strategy...