Survivorship Free Momentum And Trend-Following Strategies
Survivorship bias can silently inflate backtest performance by omitting delisted or bankrupt stocks. Michael Harris demonstrates the effect with a simple trend‑following rule that earns 7.7% annually on the Dow 30 when survivors only are used, but drops to 5.6% when failed firms are included. A cross‑sectional momentum model shows an even larger distortion, falling from a 46% CAGR on the Nasdaq 100 to 16.4% once bias‑free data are applied. The findings warn investors that apparent excess returns may be illusory without survivorship‑free datasets.
Standard Error Bands Trading Strategy for Individual Stocks
The article introduces a Standard Error Bands (SEB) trading strategy that plots upper and lower bands a set number of standard errors above and below a linear regression trend line. A backtest on all S&P 500 constituents from 1990 to the...
Bullish Harami: A Small Candle With Big Reversal Potential
The article examines the bullish harami candlestick—a two‑candle reversal signal—by backtesting it on the S&P 500. Over 162 instances, the strategy yielded an average 0.77% gain per trade, a 64% win ratio, and a 16% compound annual growth rate while the...
A Mean Reversion Strategy for Semiconductors
A rules‑based mean reversion model targeting semiconductor ETFs was backtested from the launch of SMH to the present. The system generated 124 trades, delivering an average 1.1% gain per trade and a 78% win ratio. It produced a 5.5% compound...
Larry Connors' RSI Strategy Still Performing Well
Larry Connors' two‑decade‑old RSI mean‑reversion strategy continues to deliver strong performance in modern markets. A backtest on the Nasdaq‑100 from 2000 to 2026 shows a 10.7% compound annual growth rate, 71% win ratio, and a profit factor of 2.1 while...
RSI Drop Trading Strategy
The RSI Drop Trading Strategy is a mean‑reversion system that targets short‑term rebounds after a sharp, oversold pullback, using the Relative Strength Index as its trigger. The method was backtested on the S&P 500 from 1995 to 2025, generating 244 trades...
Value Vs. Growth Rotation Strategy
A value‑vs‑growth rotation strategy swaps exposure between the two styles based on relative performance, typically using ETFs such as IUSV (value) and IUSG (growth). Backtested from 2000, the rule‑based approach generated an 8.96% compound annual growth rate, outpacing pure value...
Meb Faber’s Momentum and Trend-Following Strategy For Gold, Stocks, And Bonds
Meb Faber’s 2015 momentum‑and‑trend‑following model allocates across gold, equities and bonds, rebalancing monthly or quarterly based on six‑month performance. Back‑testing from 2010 through 2025 shows a compound annual growth rate of 8.7% with 92% market exposure and a modest 15%...
Can the Commodities-to-Equity Ratio Help Us Time Asset Rotation?
The commodities‑to‑equity ratio compares the S&P Goldman Sachs Commodity Index to the S&P 500, indicating which asset class has stronger momentum. Historically the ratio has cycled, with equities dominating the 1990s, commodities the 2000s, and stocks regaining strength in the 2010s. A simple...
The Ultimo Effect In Stocks
The "Ultimo Effect" describes a recurring tendency for equity markets to drift higher during the last few trading days of a month and the first few days of the following month. A backtest on the S&P 500, entering long positions on...
Calendar Trade for Bonds
A calendar trade strategy applied to Treasury bond ETFs (TLT) generated a modest but consistent equity curve. Over 284 trades the approach delivered an average gain of 0.35% per trade, a 61% win ratio and a profit factor of 1.8....
Multiple Days Up And Multiple Days Down Trading Strategy
Larry Connors’ Multiple Days Up and Multiple Days Down strategy exploits short‑term market overreactions by trading against clusters of consecutive gains or losses. The method was backtested on the SPY ETF, generating 267 trades with a 75% win ratio and...
Short Strategy for Chinese Stocks (FXI)
A systematic short‑position strategy targets the iShares China Large‑Cap ETF (FXI) from the U.S. market close to the next open. Over 765 trades, the model generated an average gain of 0.1% per trade, a 50% win ratio, and a 2.7%...
Seasonal Swing Trade In Bonds
The article outlines a seasonal swing‑trade framework for U.S. Treasury bond ETFs, primarily TLT, that exploits recurring calendar‑driven price biases. A backtest of 569 trades shows a 0.43% average gain per trade, a 60% win ratio and a 10.1% compound...
RSI 30 50 Strategy for Beginners
The RSI 30‑50 strategy repurposes the Relative Strength Index as a pull‑back entry tool rather than a reversal signal. Traders first confirm a bullish trend—typically price above a rising 200‑day moving average—then wait for the RSI to dip into the...