Low risk outperforms high risk
The impact of survivorship bias
This post is about the impact of survivorship bias on various types of strategies. I want to look at mean-reversion as well as trend-follow strategies to see how their performance gets impacted by using today’s stock index constitution vs. a historical correct definition aka survivorship bias free.
SPY: Is the time about right for mean reversion?
The 2-day mean-reversion trade, e.g. RSI2 or DV2 has become very popular. Though the performance of this trade has weakened lately (during 2011). So the twenty thousand dollar question becomes: Is the edge of this trade gone or is it about to resume?
With this post I want to share an observation I’ve made by tracking my Trend Strength Indicator (TSI). TSI is a non-directional trend strength indicator. A lower TSI is indicating a tendency to mean-reversion while a higher TSI is indicating follow-through action. Read more about TSI [here].
Portfolio Trader – Week 44 / 2011
These are the trades I’m going to take for the coming week. In case you consider mirroring my trades make sure you do your own homework upfront in order to match your personal risk profile (no investment advice).
- Frank
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