Raging Bull

It seems that most of the strategies that are in the public sphere, are consciously or unconsciously trying to prevent the large 2007-2009 draw-down. From simple to complex Tactical Allocation Systems, to mean-reverting strategies, to volatility based strategies, pairs strategies, etc. They all avoid (in hindsight) the biggest market crash that most of us have experienced. But what happens …

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Mon AMMI

No, it’s not french and it’s not the movie.It’s a fast-N-rough “Adaptive Multi strategy Multi Instrument” model. Let’s assume we want to trade mean-reversion: If price moves down we buy, if it moves up we sell. Possible Indicators from the blog-o-sphere:RSI(2),RSI(3),RSI(4)DV2 here and hereBSI here or hereBoilingerBandsCRSI hereTD9 here Question 1: Which Indicator to use? One …

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