Research library
Not a signal. A way to inspect when it works.
A navigable library of methods, observations and independent readings of a forty-year partner archive.
216 readings · 1985–2020
The map
Explore the whole library
Open the full directoryChoose a field of study first. Every branch opens its subtopics, methods and archive readings.
01
Technical analysis
Technical analysis methods with explicit inputs, outputs and limits.
Trend and channels · Chart patterns · Market breadth · Waves and ratiosOpen topic 02Quantitative methods
Methods that make their assumptions, inputs and tests explicit.
Time series and forecastingOpen topic 03Quantitative models
Quantitative models methods with explicit inputs, outputs and limits.
Indicators and filters · Time series and forecasting · Cycles and spectral analysis · Statistical testsOpen topic 04Trading systems
Trading systems methods with explicit inputs, outputs and limits.
Entry and exit rules · Trend and mean reversion · System design · Decision processOpen topic 05Risk and position sizing
Risk and position sizing methods with explicit inputs, outputs and limits.
Stops and loss limits · Sizing and leverage · Drawdown and survivalOpen topic 06Execution and market microstructure
Execution and market microstructure methods with explicit inputs, outputs and limits.
Order types and routing · Liquidity and costs · Auction and volumeOpen topic 07Portfolio and market context
Portfolio and market context methods with explicit inputs, outputs and limits.
Portfolio construction · Intermarket and spreads · Options and volatility · Seasonality and regimesOpen topicThe index
Archive readings
All readings by year1985A serial-dependence window from signed price transitionsTransition matrix1986Evaluate the price random-walk question as a gated quantile labRandom walk hypothesis test1986Volume confirmation, the negative volume index, and divergenceVolume-price analysis1986Chi-square tests on price transition matricesChi-square test1986The stop, the size, and the acceptable loss as one pre-entry gateStop-loss order1987Constructing parabolic stops and cycle-window averagesParabolic SAR1987Evaluating money-supply serial dependence before a forecastRuns test1988A two-rule classroom book of cheapness and new highsValue investing1988Name the stop, then decide if the account can payExpected value1988Opening range breakout, stretch preference, and timed stopsOpening range breakout1988Evaluating stationarity, randomness, and dependence in an index seriesChi-square test1988Limited-risk labels versus exposure and ruinRisk of ruin1989Path quantiles versus net return for index velocity regimesHistorical volatility analysis1989A close-only volatility reverse bound to average true rangeVolatility stop1989Mean deviation versus squared dispersion for riskMean deviation1989Evaluating always-in parabolic SAR trailing stopsParabolic SAR1989Volume confirmation windows and exponential average constructionMoving average1990Constructing stochastic %K and %D from range positionStochastic oscillator1990Evaluating a weekly up-volume ratio and an hourly oscillatorUp-volume ratio1990Constructing a signed-range negative volume lineNegative Volume Index1990Build a weekly leading sector composite from scaled transports and financialsIntermarket analysis1990When quiet-day breadth fails a horizon testNegative Volume Index1990Constructing continuation patterns from congestion geometryFlag and pennant1990Constructing stochastic K and D lines and divergence cuesStochastic oscillator