Research
The questions that won't let go.
Thirty years of building Optuma has surfaced a handful of problems that sit right at the seam between classical technical analysis and modern quantitative methods. This is what I'm working on now.
Current topics
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Market Phases
Quantitative regime detection — when do strategies work vs. not?
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Variability Weighted Return (VWR)
An alternative to Sharpe for portfolio evaluation.
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Relative Rotation Graphs (RRG)
Weighting, security selection, cap-balancing.
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Optex Bands
A volatility-based band framework.
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Gann-based Market Breadth
Fusing W.D. Gann geometry with modern breadth indicators.
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Risk measures
VaR, Sharpe, Sortino, Omega, risk of ruin.
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Market cycles & Fibonacci
Benner cycles, market phase analysis.
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Quantitative strategy design
Defining rules, automated testing, ML applications.
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TA in the CFA curriculum
Integrating technical analysis into CFA education.
Published papers
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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 explain the basic RRG concepts along the way.
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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.
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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 axis. The results once Market Capitalisation is included are amazing.
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Recorded talks
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53 minUnlocking Market Phases
2023 · YouTube
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34 minStop using Sharpe — Unlocking VWR
2025 · YouTube
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50 minOptex Bands — CMT Webinar
2023 · YouTube
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68 minQuantitative Strategies for Technical Analysis
2023 · YouTube