The reward for long-term resilience in simple trading strategies - Part II

Marton Trencseni - Sun 16 March 2025 • Tagged with trading, sharpe ratio, win ratio, nasdaq

In this follow-up, I analyze 10 years of data on a select group of stocks to show that while higher take-profit and stop-loss thresholds boost win ratios and Sharpe ratios, longer holding times can lower annualized returns.

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The reward for long-term resilience in simple trading strategies - Part I

Marton Trencseni - Sun 09 March 2025 • Tagged with trading, sharpe ratio, win ratio, nasdaq

In this article, I explore how adopting longer-term, resilient trading strategies with higher take-profit and stop-loss thresholds can deliver more consistent, risk-adjusted performance.

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Modern Portfolio Theory III: The Efficient Frontier in log volatility—return space

Marton Trencseni - Mon 30 December 2024 • Tagged with markowitz, portfolio, capm, volatility

In the previous two articles, we explored the coverage of random portfolios in log volatility—return space, both with and without a risk-free asset. We now take the next step, and calculate the Efficient Frontier and Capital Market Line of Markowitz’s theory.

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Modern Portfolio Theory II: Random portfolio coverage in log volatility—return space with a risk free asset

Marton Trencseni - Fri 20 December 2024 • Tagged with markowitz, portfolio, capm, volatility

In a previous article I simulated random portfolios using Monte Carlo methods for the 2023 daily closing prices of the 100 stocks constituting the Nasdaq-100. Here I add the risk-free asset to the portfolio and examine how it affects the coverage in log volatility—return space.

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Modern Portfolio Theory I: Random portfolio coverage in log volatility—return space

Marton Trencseni - Sun 01 December 2024 • Tagged with markowitz, portfolio, capm, volatility

I examine the coverage of random portfolios in log volatility—return space using Monte Carlo methods with different randomization techniques for the 2023 daily closing prices of the 100 stocks constituting the Nasdaq-100.

Monte Carlo casino

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Stock returns of simple trading strategies

Marton Trencseni - Fri 22 March 2024 • Tagged with trading, sharpe, winratio, nasdaw

I clean up the code I wrote for earlier posts, and run simple trading experiments.

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The volatility of simple trading strategy returns

Marton Trencseni - Sat 09 March 2024 • Tagged with markowitz, volatility

I investigate the volatility of aggressive take-profit strategies on tech stocks.

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Introductory investigations into the stability of stock price volatility

Marton Trencseni - Sun 25 February 2024 • Tagged with markowitz, volatility

I investigate the volatility of some securities, and its stability over time.

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