TRPITS stands for “Turning a Research Paper Into a Trading System.” When I published Part V last month at MarketThoughts, it was available to subscribers only. Now that it’s over a month old, it’s free, and y’all should go read it! I take the research paper by Andrew W. Lo and Pankaj N. Patel, 130/30: The New Long-Only (PDF), and use their information to construct and test various long/short trading plans that a retail trader might be able to use.

Here are links to the previous installments:
TRPITS, Part I
TRPITS, Part II
TRPITS, Part III
TRPITS, Part IV
And of course, TRPITS, Part V

I’ll probably tap into this genre again before too long; stay tuned!

I don’t know about you, but I find this stuff far more interesting than parsing S&P 500 statistics for whether large rally days are more likely to be found in bear or bull markets! However, “data dumps” like the “rally day study” are far more likely to be read from the trading floor during a 30-second segment of Bloomers TV than truly useful stuff like TRPITS is. Oh, bother.

I guess it’s a question of who your audience is …