Category: Simulation
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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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Why Use Monte Carlo Simulations? To Guard Against Tunnel Vision
Sam Savage, author of “The Flaw of Averages,” is a missionary for making business decisions using probability distributions instead of point estimates. I’m an avid disciple, which might surprise some who read the previous post. The earlier post, “Modeling Expected Returns: The Future Is Not What It Used to Be” described a formula derived…