Confirm Signal Newsletter

Confirm Signal
Bayesian Statistical Testing of Trading Hypothesis
Created 07 Aug 2021
  • Checking for Seasonality in the S&P 500
    02 Oct 2021 • 4 min read
    “Sell in May and go away” is an old English phrase that is repeated as a warning against the ravages of seasonality in the market, though it was a different market than the one under study here. I’m n...
  • Testing SqueezeMetrics GEX and DIX Indices
    25 Sep 2021 • 5 min read • 0 2
    I previously looked at @SqueezeMetrics GEX and DIX indices to see if they had any casual impact on future returns in the S&P 500 index but my analysis had a fatal data error in it. In this post I revi...
  • Don't Do Statistics Before Causality
    19 Sep 2021 • 2 min read
    I’ve identified an area in my analysis that is lacking, and so I have been studying since my last post to erase it. That area is causality, but another phrase for it would be scientific rationality. I...
  • Mean Absolute Deviation and MAD About Shaming Science
    29 Aug 2021 • 3 min read
    I have two things I’d like to write about this week: the first is quantitative, the second is a bit of an unrelated rant. Mean Absolute Deviation v. Standard Deviation In the early chapters of Nassim ...
  • Taking the Temperature of Dr. Copper
    22 Aug 2021 • 1 min read
    Corrected 2021-08-30 An earlier copy of this article used data that was incorrect. The trailing returns were referred to rather than the forward returns, which showed a weak but statistically signific...
  • My Analysis Approach and What Motivated It
    14 Aug 2021 • 6 min read • 1 0
    Traders hope to do better than Jack Bogle’s “buy everything and hold it forever” approach to investing by seeking an edge over the market. Certainly most of them fail, as few would disagree, but that ...
  • Bayesian Testing of Trading Ideas
    07 Aug 2021 • < 1 min read
    Conviction should follow confirmation. The only confirmation I see discussed around trading on Twitter are additional untested signals. My goal is to change that, at least a little bit. My goal is to ...
  • False Positive Errors and Introduced Auto-correlation
    20 Jul 2021 • 2 min read
    In my previous report I messed up my result by introducing an auto-correlation false positive into my results. I've corrected my infrastructure to prevent that sort of thing from happening again, and ...
  • Stochastics: Testing the Trading Oscillator
    14 Jul 2021 • 4 min read
    REVISED - ERRORS CORRECTED See this article on how I solved the problem. The stochastics indicator is titled "an accurate buy and sell indicator" by Investopedia with no evidence supporting the claim ...
  • Testing the RSI Indicator with Bayesian Estimation
    13 Jul 2021 • 3 min read
    I previously tested the RSI indicator against the Dow Jones Industrial Average using ordinary high school statistics. In this post I'll be pulling out my big guns: Bayesian estimation. This is an appr...
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