Quantocracy’s Daily Wrap for 07/24/2015

This excerpt is from the book Global Asset Allocation now available on Amazon as an eBook. If you promise to write a review, go here and Ill send you a free copy. – I would classify both my mother and grandmother as traditional Southern cooks. Their style was very much of the finger variety. While they may have a broad recipe to go by, the food usually

One indicator starting to give bullish readings is the Quantifiable Edges Capitulative Breadth Index (CBI). It reached 8 at the close on Thursday. While 10 is the level I often refer to as a very strong bullish indication, levels as low as 7 or 8 have often been followed by market bounces when the market has been in a long-term uptrend. Below I have produced a table showing results if you entered

The Mojito uses a step function to switch up allocations between the VXX and VXZ ETFs over time. A bunch of rules which says… If the spot VIX to VXV (3 month VIX future) ratio ('IVTS') is lower than 0.91 then short the VXX (short term VIX future ETF) and weight by -0.7, while long the VXZ by 0.3; and so on… Each dot on

In a recent post I discussed how the short borrow rate could be used as a predictor of future stock returns. This prompted a reader to ask if the analysis had taken short squeezes into account. This is a good point. Because of the mechanics of short selling it is sometimes not possible to hold short positions as long as we would like. I don't think the study did completely account

Well here I go again breaking one of my own cardinal rules again i.e., being critical of someone elses writing. Must be getting cranky in my old age. Anyway, I recently read an article calling margin debt an indicator that predicts nothing. No the writer is actually technically correct for the most part. Still this sort of surprised me as I remember learning from Norman Fosback

Carry and Trend Following Returns in Foreign Exchange Market