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.
- 3 years ago, 6 Jan 2015, 04:54pm -
State of Trend Following in December 2014 [Au Tra Sy]
- 3 years ago, 6 Jan 2015, 08:14am -
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.
- 3 years ago, 6 Jan 2015, 04:05am -
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.
- 3 years ago, 2 Jan 2015, 02:48am -
‘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
- 3 years ago, 22 Dec 2014, 09:45am -
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).
- 3 years ago, 18 Dec 2014, 05:53am -
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
- 3 years ago, 17 Dec 2014, 10:14am -
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
- 3 years ago, 17 Dec 2014, 04:20am -
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:
- 3 years ago, 12 Dec 2014, 05:00am -