Items related to Forecasting and Timing Markets: A Quantitative Approach
Synopsis
[Note: This is newly published 2nd Edition updated in April 2021, full color version, which demonstrates that 8 out of 9 models beat buy-and-hold (bah) and average Joe's (aj) strategies significantly, based on backtest results with the past 15 years of historical prices.]
Stock market has been a mystery for over a century. From Dow’s theory to Elliott wave theory, many pioneers had attempted to formulate a theory that could help forecast and time market, but none had succeeded much. More recent legendaries such as Warren Buffett, Jim Simons, and so on, have made huge successes, but they could not be easily replicated. However, after years of research, I seem to have found a good alternative, i.e., building math models and letting machines do all hard work by running those models and generate signals based on well-tested historical patterns. Furthermore, I am finally able to turn a vague idea of my own I have had for years into a concrete math model named simple cascading indicator (sci), which could beat all classic models I tried most of the time. I felt so excited, so I recently summarized all my findings and new results into this 2nd edition of my FTM book. Out of all, a chart in Chapter 8 shows how my system has outperformed all three market indices by large margins, based on the historical data of past 15 years with 28 symbols. Many tables in the book also show that my models easily beat the buy-and-hold (bah) and average Joe’s strategies for each symbol most of the time!
This text attempts to fill the vacancy of how one can forecast and time markets more quantitatively. For this purpose, the author developed a model-based system, named AlphaCovaria, to help demonstrate how to use various simplest, readily available technical indicators to forecast and time markets approximately while eliminating subjective speculations at the same time. Centered on various math models, the author’s AlphaCovaria system has three main components: an AlphaCurve program for charting, a BTDriver program for running all backtests, and an AlphaCovaria driver for generating buy/sell signals based on symbol profiles learned through backtests. This kind of formula-driven approach is more promising for building more high-performance strategies.
The text is made concise and precise of about 100 pages only, as a working method does not need to be wordy. Math models, data and charts can help explain more effectively and convincingly. Finally, this 2nd edition of the book also shares my live trading experience using real money in my Fidelity and eTrade accounts with my AlphaCovaria system. Such data can be found nowhere else.
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