ETF Prophet

The Omega ratio http://en.wikipedia.org/wiki/Omega_ratio is a relatively new performance metric  invented by Keating and Shadwick. It was designed to be a better way to capture all moments of the distribution to give a fair accounting of the upside versus the downside risk that is superior to the Sharpe Ratio. From a semantic perspective it does truly [...]

There have been a number of studies/ blogs published recently on the use of moving averages as a trend following tool. In short the general conclusion is that if you're looking for good risk adjusted returns, they still hold up pretty well. Many of these blogs/ studies looked at US markets so I thought I'd [...]

In my examination of short term trading returns and hunt for a strategy, I thought it would be useful to understand what sort of performance measure to use. In creating a trading strategy, it would be useful to have some sort of benchmark to compare it to. I want to do this properly and to [...]