Category: Managing Volatility
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Alternative Time Windows for Evaluating Performance
Dynamic Trading Rules: Change the Time Window and a Different Picture Emerges Further examining a 200-day Moving Average (200MA) strategy for mitigating downside risk, I was recently examining how the picture changes when you alter the time window for assessing these strategies. Below is a scatterplot of a dynamically managed strategy using 200MA (vertical…
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What a Difference a Day Makes (or, “Fooled by Look-Ahead Bias”)
This year I’ve written a few times about using the 200-day Moving Average (200MA) as a market timing indicator. Evolved Perspective on the 200-Day Moving Average Since my last posts my appreciation for and complaints about 200MA have evolved. I previously wrote that if enough speculators begin blindly following the 200MA it could lead…
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Market Timing or Dynamic Risk Management?
Institutional investors have long been indoctrinated with the notions of stocks for the long run and the importance of remaining fully invested. As I touched on stocks for the long run in an earlier post, in this one I will address remaining fully invested. The argument in favor of remaining fully invested went like…