When You Wish Upon A Quat Zombi

Feb. 23, 2021 3:43 AM ETLABU, SOXL, TNA, TQQQ6 Comments
Josef Friedman profile picture
Josef Friedman


  • Simple daily win rate analysis provides important market direction insights along with spectacular strategy returns.
  • The Quat Zombi or Quatz is an effective logical signal, containing information about two true/false statements.
  • The concept of high dimensionality in market analysis is discussed.
  • The results further confirm the power of this analytical paradigm.

The Legend

My work probably belongs to a discipline called Computational Finance. This is a branch of applied computer science. My focus is data manipulation and information theory rather than statistics or math. I learned about computers at a trade school after getting a BA in college, so my research is relatively original. It is characterized by analyzing groups of stocks instead of individual securities. My impression is that a data-based orientation is dramatically and demonstrably better than a two dimensional statistics-based framework.

My articles are written to document my work and demonstrate the effectiveness of the processing paradigm. For the past year or so, my concentration has been on algorithmic decision-making.

For the last several months, I've been looking at win rate analysis. In this article, I will try to show that win rate strategies are quite interesting, relatively simple to create, and can make excellent returns if a little rational thought is put into them.

I will try to step through the strategy creation process, as I think it is quite different (and hopefully better) than the usual procedure.

Price Input

Historical prices are the only input. These must be dividend adjusted. The best thing to do is download price history every day. A sample of data from SPY is shown below:

Price data is downloaded for relevant stocks. Each stock's data is stored in a different spreadsheet. It's worth paying a little money to avoid annoying technical issues when dealing with downloading many data sets.

It takes some practice to master moving between the different data sets, etc. I practiced doing this for at least an hour a day for over 20 years. Probably I'm flattering myself, but I might be a little better than average at it now.

High and Low prices are not used in

This article was written by

Josef Friedman profile picture
Software developer, Excel VBA for quantitative technical analysis, specializing in analyzing groups of equities and ETFs.  Articles document development of market models and game theory.  Chess master.

Disclosure: I/we have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article.

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