Papers

My Papers (PDF Files)

Follows are papers available in PDF format. All discuss various aspect of the same general problem: how to make better stock trading strategies. Most often the point is made to design trading strategies that can last. And, methods are presented to do just that. I have the utmost respect for an equal sign, and therefore, you will often find it in my writings. My way of expressing, if not the simplicity of it all, at least, its mathematical structure. An equal sign is a powerful statement.

Oct. 2, 2023

Catching Up On Your Retirement Fund (Getting Near 45 Years Old. Time To Make Up For Lost Time).

My friend asked me, "How about people starting their retirement fund later in life, like at 45, rather than the 25 to 35-year-old scenarios you already presented?"

My recent writings were on how anyone could build their retirement fund on their own. It was shown there were considerable advantages in doing so. The most valuable was providing a significant and increasing income stream for the rest of one's life once they retired. The emphasis is on the word increasing.

This paper, Catching Up On Your Retirement Fund, provides the underlying equations to rebuild and validate any of the presented scenarios. You can fire up your favorite spreadsheet and redo everything yourself. So, there is no secret sauce, only common sense stuff. If you do this, it will result in that kind of thing. The big question is: will you dare do any of it for yourself and your children? You will figure out ultimately that money spells freedom.

Sept. 18, 2023

This new article, How To Make It Anyway, or How To Retire With A Lot More Than Enough, is about how you could design your long-term investment portfolio such that:

It will survive for a long time, a very long time
Outperform usual market benchmarks like the S&P 500
Continue to grow while in retirement
Increase your monthly retirement income every year
Require little of your time
Provide a substantial legacy for your loved ones.

A complete recipe for doing so is provided. It is all explained and supported by mathematical equations. The emphasis is on your long-term retirement needs. All the while having it under your control before and after retiring. The primary objective is to give you the financial freedom and peace of mind you aspire to.

August 29, 2023

RETIRE A MULTI-MILLIONAIRE - A Roadmap On How You Could Do It gives you the understanding, the blueprint, and the methods on how you could do it, that is, retire a multi-millionaire.

This paper has no hype, only ordinary stuff you can do yourself. Some of it requires a single decision. But that is up to you.

You will have two investment periods to consider. The first is up to retirement age, and the second starts after you retire. Simple equations govern both phases.

I propose you build your retirement fund using monthly contributions, except you will be the one to manage it to get better returns. An administrative decision could add millions to your retirement fund.

August 14, 2023

This paper: Sitting On Your 'Bunnies' Might Be Your Best Investment Yet will show you have a choice in building a long-term stock portfolio designed to serve an increasing income stream of significance while in retirement and that your choice will be in the investment methods you will use. The emphasis is on an ever-increasing income stream while in retirement.

The expected overall performance level of your stock portfolio will depend on the average rate of return you can achieve or extract over the entire investment period. Essentially, you will have to choose your rate of return from your available choices.

The big question is: how much will YOU need?

July 6, 2023

This short paper, Self-Managed Retirement Funds, makes the case that one should look beyond their retirement date and see the legacy they can leave behind to their loved ones or any other purpose or rationale.

There are two phases in building a retirement fund. The first is to build that retirement fund up to retirement age. And the second is to have that fund provide you with a sufficient income stream that leaves you worry-free with the ability to do whatever you want. Make your retirement fund so large that, whatever your lifestyle, you are only nibbling at it.

May 29, 2023

This paper: Make Yourself A Glorious Retirement Fund, has a simple proposition. You manage your retirement fund in two stages. One: up to retirement age 65 (your choice). And two: the after retiring, where you can withdraw from your fund the income stream you want while your fund can continue to grow, thereby continuously increasing your retirement income.

Make Yourself A Glorious Retirement Fund is more than hinting that you have some work to do. And that it is in your best interest to set up and control your own retirement fund, even during retirement. It is a continuation of the previous paper titled: The Age Of The Individual Investor, which set the foundations for this one.

April 18, 2023

This new and free paper, - The Age Of The Individual Investor - addresses the future of everyone. It makes the point that a single and simple equation will totally change the world we live in. Not because it is the nature of things to change but because of this notion of profit.

Since everyone having the means to do so will try to manage their long-term funds or at least preserve some of what they have earned, they will be looking for ways to select growing assets. This search for profit will be a significant societal driver of change for the next 50 to 100 years.

First, there is the basic need to make a buck for a living. But, more importantly, there is also the need to profit from one's investments, the necessity of building a nest egg, no matter the nature of those investments.

June 20, 2016 Also available in PDF

(Part 1 of 3)

What is it you want? The money, the entertainment, recognition, or maybe just something to talk about as if you were in the know of worldly events. Just in case it is the money, then you might appreciate what follows since it is all about your long-term portfolio protection.

This is a 3-part series that elaborates on the use of stop losses in stock trading strategies. I think you will be able to benefit from my observations. To skip the text, examine the charts for what they have to say.

November 25, 2014

Recently, I made the remark somewhere that if my DEVX V6 random trading strategy simulation was performed again, it would achieve almost the same results as the one done on November 2^nd. It is always easy to make such a statement. But for me, when I express something like this, I need to show some proof or at least some evidence that it would be so. Expressing it, even if I know the end results before making such a test, might not be considered sufficient by others.

November 6, 2014 New paper: A Donor Within

Just sent my pledge to the Bill & Melinda Gates Foundation. I found it to be the best outcome for my years of research. Over the last few years, I've developed a series of better and improved trading strategies. My best strategies should be considered sophisticated, designed for long-term appreciation, and should prove to be most profitable.

I view the offering of my best-performing trading strategies as my way to help people more than I ever could alone. It is all explained in my latest paper: A Donor Within.

July 13, 2014

or, How to Build Your Retirement Fund

I would say all people would like to build a nice retirement account if they could. However, the process has always been considered difficult and often required professional help, while most of the time, they could just do it all on their own. What follows is all about a long-term trading strategy that could simply help anyone take the first step in that direction. And if able, do even more.

February 9, 2014

My new paper deals with an equation designed to help you make more money by adding small improvements to your own trading strategies (should they not be present already). The equation (named red5) is a complete trading strategy in itself. It presets trading rules in order to generate long-term positive alpha. I would suggest that your objective is to extract from red5 what you need and incorporate the lessons learned into your own trading methods.

August 6, 2012

My latest paper, A Changing Game, is out. It summarizes some of my latest articles on random trading over randomly generated stock prices made to mimic real stock prices, including rare events or infrequent price gaps. An Excel file is provided for the more venturous. It contains a lot of lessons for those who want to look beyond what is there.

January 11, 2012

New Presentation: Alpha Power Trading Methods.

The task of designing better trading strategies is either over-simplified or over-complicated. Oftentimes, it is hard to distinguish which one really outperforms.

May 16, 2011

Continuous-Time Model of Equity Returns

HERE is another interesting study. It tries to find a mathematical model for daily stock prices at the 5-minute level. All should recognize the u-shaped volatility curve exhibited during trading hours. The paper presents the case where the data should dictate the structure of the model and where the model, while not perfect, should capture and explain most of the daily fluctuations.

May 16, 2011

The Numéraire Portfolio

The market might show that there are no free lunches and that your predictive powers leave a lot to be desired; it does not change the fact that you can redesign the way you play the game in such a way that you can extract what you want from the game all within the constraints imposed by the game (market) itself. And, I would say, you could even push the arrogance to the extreme and let the market pay for it all…

May 16, 2011

On Optimal Arbitrage

Some might be interested in reading: “On Optimal Arbitrage” by Daniel Fernholz and Ioannis Karatzas. It can be downloaded from HERE. (update: seems to not be available). But you can download a copy from HERE. It is a recent preprint and well done.

May 16, 2011

Luck Versus Skill

HERE is a recent study (2009) by renowned Fama and French.

They conducted a performance study on over 3000 actively managed funds over a 22-year period (1984-2006) and came to the conclusion that most funds (over 80%) failed to generate positive alpha and even had a hard time just covering trading expenses. Their study thereby states that the long-term expected alpha tends to zero and that it is very hard to distinguish skill from luck in actively managed funds. I do agree with their findings.

May 11, 2011

This second paper, the Jensen Modified Sharpe (2008), provides the mathematical framework that explains why and how the Alpha Power trading methodology works. A higher mathematical level is used to describe the system and methodology.

The paper is available here: Jensen Modified Sharpe

May 10, 2011

My first research paper: Alpha Power: Adding More Alpha to Portfolio Return (2007), was my attempt to describe and explain what my research in random stock data generation was doing. Even with stock price series randomly generated, you could extract alpha points by developing trading strategies using methods that would increase the ongoing inventory as time evolved.