by Brian Bell | Feb 11, 2021 | Markets, Research, Technical Analysis
Rank Correlation in Technical Analysis Rank correlation measures the “orderliness” of a price move. In financial analysis, the term correlation generally refers to the Pearson correlation coefficient, which measures the linear correlation between two sets...
by Brian Bell | May 19, 2020 | Commodities, Futures, Markets
Negative Oil Prices? My Thoughts Another example of the financial news emotions industry spreading misinformation… Everyone knows it by now. On April 20, 2020, we experienced negative oil prices for the first time in history. Or did we? First, let’s review....
by Brian Bell | May 17, 2018 | Markets, Research
Loss Coherence – Part 2 Loss coherence applied to random variables; loss coherence matrix compared to correlation matrix; loss coherence for asset classes and trading strategies; some surprises… In the previous post, I created a way to measure the tendency of...
by Brian Bell | May 14, 2018 | Markets, Research
Loss Coherence – Part 1 What is Loss Coherence? Define the Loss Coherence Coefficient; Next post – Explore Loss Coherence behavior and values. I’m not a fan of correlation. You can read that a couple of different ways. First, I’m not a fan of high correlations....
by Brian Bell | Dec 6, 2017 | Futures, Markets, Research, Technical Analysis
Looking Back on Trend Following – Part 3 Analyze CTA trading style using AWTR; simple linear regression of CTA rolling returns; trend-following vs non-trend-following results; data. In the previous post in this series, we examined the relationship between the...
by Brian Bell | Jun 13, 2017 | Futures, Markets, Research, Technical Analysis
Looking Back on Trend Following – Part 2 In this post, I’ll calculate the Average Weighted Trend Ratio (AWTR) for a portfolio of futures markets and see if it helps explain good and bad periods for trend-following CTA strategies. In the previous post, I...
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