Quant Mashup S&P500 Year Cycle [Stockdotnu]ear cycle for S&P500 and the top graph shows mean and median for year 1957 to 2014, the second graph is from 2000 to 2014. The graph is marked with year trading days from 1 to 249. Employment Report Overnight Futures Returns Since August 2012 [Overnight Edges]I have shown the study below a several times in the last year or so, but not since September, and the employment night hot streak remains strong. The overnight futures market has been loving the Employment Report since the summer of 2012. The Employment Report is released at 8:30 AM Eastern(...) Monthly ETF Rotation System Rules & Results - $SCHH, $IYR, $TLO, $SPY [Theta Trend]As some of you know, I recently began trading two monthly ETF Rotation Systems. One is a Basic ETF Rotation system that trades a diverse group of markets and the other covers similar markets using Schwab Commission Free ETF’s. The Basic System is intended to take the place of the ETF Portion(...) Dow 20,000: Is 2015 the Year? [GestaltU]It’s that time of year again. Yup, that jolly, happy time of year when the soothsayers of Wall Street start trumpeting their views on what’s going to happen in 2015, and how to position portfolios to profit. Esteemed Wharton professor, Jeremy Siegel, author of the permabull bible, Stocks for the(...) Trading with Estimize and I/B/E/S earnings estimates data [EP Chan]By Yang GaoEstimize is an online-community utilizing 'wisdom of crowds' to offer intelligence about market. It contains a wide range of crowd-sourced estimates from over 4,500 buy-side, sell-side and individual analysts. Studies (from Deustche Bank and Rice University among others) show(...) A Century of Generalized Momentum [GestaltU]We enjoy collaborating on new research projects simply because nobody has a monopoly on interesting ideas. Where our expertise in asset allocation, tactical strategies and portfolio optimization methods might prove useful, we are always open to discussing new and ongoing research. State of Trend Following in December 2014 [Au Tra Sy] A Combination Of Factors Suggesting A Bounce [Quantifiable Edges]There were a number of Quantifinder studies yesterday that looked at SPY and/or SPX making short-term lows, closing down 3+ days in a row, and/or leaving unfilled gaps down. The study below it combined all of these ideas. What Happens After A Big Down Day Between Christmas & New Years [Quantifiable Edges]As I discussed last week, the time between Christmas and New Year’s tends to be a very strong seasonal period. (And even through the 1st or 2nd trading day in January). Wednesday was only the 11th time since 1960 that SPX fell greater than 1% on a day during this week. ‘Twas 3 Nights Before Christmas – NASDAQ version [Quantifiable Edges]I’ve been posting and updating the “Twas 3 Nights Before Christmas” study on the blog here since 2008. The study will kick in at today’s close. This year I will again show the Nasdaq version of the study. While all the major indices have performed well during this period, the Trend Following Wizards – Strong November, Strong 2014 [Au Tra Sy]One of the best months of the year for our Trend Following Wizards. Not so surprisingly after the strong performance of the State of Trend Following Index (nearing +10% return for November). Day of month pattern or luck for a monthly ETF rotation strategy? [Alvarez Quant Trading]From my post on Heikin-Ashi Charts, another researcher wrote Luck: The Difference Between Hired or Fired about how luck of the draw could account for the difference in returns depending on the starting date. This is a completely valid question. Are three better returns for a strategy in a particular(...) The Bullish Intermediate-Term Tendency Following High CBI Readings [Quantifiable Edges]I’ve written an awful lot about the Quantifiable Edges Capitulative Breadth Indicator (CBI) here on the blog. The CBI moved up from 8 to 12 on Tuesday. While 10 has been a strong indication for a short-term bounce, 11 or higher has been a reliable indication for the Measuring Tactical Alpha, Part 2 [GestaltU]When we left off in Part 1, we promised to examine how select Global Tactical Asset Allocation products stack up against the Global Market Portfolio from the perspective of several performance measures – particularly Sharpe ratio, alpha and information ratio. Without further adieu: