This is a summary of links recently featured on Quantocracy as of Monday, 11/09/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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RSI(2) Pullback From 2007, Tested on the 20 Years After: 84% Claimed, 80.7% Measured [Nullius Research]In February 2007 a trading author published a short rule for the S&P 500. Six lines, no stop. Tested from 1995 to 2006, it was 84.31% correct over 102 trades. Most claims I test come with a test period that is vague or still running. This one has a hard end date: 31 December 2006. Everything after that is data the author could not have seen when he wrote it. So I first rebuilt his test,
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RSI(2) Wins 72% of Its Trades. More Than Half of What It Earns Is T-Bill Interest [Strategy Lab]Every strategy in this series so far has bought strength. Dual momentum buys whichever asset rose most over the last year. The 10-month moving average buys an index that is above its own average. The Donchian breakout buys a new 20-day high. All three hold for weeks or months, and all three bleed in choppy markets the Donchian rule spent fourteen consecutive years underwater, almost entirely
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Probability of touch vs finishing ITM: is it really 2x? [Nikolai Alexander]Option sellers learn a rule of thumb: a strike is touched about twice as often as it finishes in the money. I tested it on 469 S&P 500 stocks over ten years, on the S&P 500 index since 1990 and on 18,462 earnings reports. On average the rule holds remarkably well. Only two things break it: earnings gaps, and the trend. Key findings On average, with calls and puts taken together, the rule
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Turtle Traders’ Rule Dodged the COVID Crash. It Also Turned $1 into $8 Instead of $70 [Strategy Lab]Both of the previous articles in this series ended on the same unresolved note. A trend filter that checks once a month cannot react to a crash that happens in three weeks. Dual Momentum was fully invested through the COVID crash and lost 33.5%. The 10-month moving average lost exactly the same. Both times I wrote that the fix is not a shorter monthly lookback but a faster, daily overlay and