Research
The questions that won't let go.
Thirty years of building Optuma has surfaced a handful of problems that sit at the seam between classical technical analysis and modern quantitative methods. These are the questions I am working on now.
Current topics
-
Market Phases
Quantitative regime detection: when do strategies work vs. not?
-
Variability Weighted Return (VWR)
An alternative to Sharpe for portfolio evaluation.
-
Relative Rotation Graphs (RRG)
Weighting, security selection, cap-balancing.
-
Optex Bands
A volatility-based band framework.
-
Gann-based Market Breadth
Fusing W.D. Gann geometry with modern breadth indicators.
-
Risk measures
VaR, Sharpe, Sortino, Omega, risk of ruin.
-
Market cycles & Fibonacci
Benner cycles, market phase analysis.
-
Quantitative strategy design
Defining rules, automated testing, ML applications.
-
TA in the CFA curriculum
Integrating technical analysis into CFA education.
Published papers
-
2016-08-05
Buying Out Performers is Too Late
Tests the results of buying securities that have been outperforming the market. We are told two rules in finance: “Buy Low and Sell High” and “Past Performance is not a guarantee of Future Returns.” Yet many advisers and investors will recommend the best-performing securities based on that very assumption. This paper shows that to maximise returns, there has to be a different way to examine when a security should be bought. Using Relative Rotation Graphs (RRG), we test whether absolute returns can be improved by responding to relative-strength performance, and we explain the basic RRG concepts along the way.
Download PDF → -
2016-08-01
Gann-Based Market Breadth
The subjective works of W.D. Gann from the early twentieth century are not normally associated with one of the modern pillars of twenty-first-century Technical Analysis: Market Breadth. Breadth requires enormous computational power and objective data, while Gann drew charts by hand and worked with geometry, angles, timing, and ratios. This paper brings the two together.
Download PDF → -
2014-02-24
RRG Weights
Relative Rotation Graphs are one of the most powerful ways that Relative Strength can be displayed and normalised on a single chart. This paper explores whether a set of securities on the RRG, benchmarked against an index made up of only those securities, can be balanced on the X and Y axes. The results, once Market Capitalisation is included, are striking.
Download PDF →
Recorded talks
-
53 minUnlocking Market Phases
2023 · YouTube
-
34 minStop using Sharpe — Unlocking VWR
2025 · YouTube
-
50 minOptex Bands — CMT Webinar
2023 · YouTube
-
68 minQuantitative Strategies for Technical Analysis
2023 · YouTube