Quantocracy’s Daily Wrap for 12/16/2015

Consider the following market timing strategy, which well call daily momentum: (1) If the markets total return for the day, measured from yesterdays close to todays close, is positive, then buy the market at todays close and hold for one day. (2) If the markets total return for the day, measured from yesterdays close to todays close, is negative, then sell the market

Welcome to part two of an ongoing series, where I look at different breadth indicators and their viability in describing market health. You can read and should read! the introductory post here: Using Market Breadth to Gauge Market Health (part 1) So last post, we (ok, I, since Im doing all the work around here) established a baseline by using a moving average of SPY to tell us

It is impossible to obtain pure factor exposure. All stocks are exposed in some way to all factors. Further, the factors are all inter-related so by trying to obtain exposure to one factor in particular you will tend to get a certain type of exposure to the other factors. Very broadly Value has a negative relationship with momentum. Value has a positive relationship with (small) size.

A reader recently asked how to do equity curve correlation. For detailed information on correlation you can read Correlation and dependence or for simpler explanation read Correlation at Math is Fun. For steps on how to do this in Excel, which is where of course I did it, read Correlation at Excel Easy. I will cover here how one can correlation analysis between equity curves. Correlation

We all want to know if it's the right time to trade. And we'd also like to know which direction. So for at least the last two months like forever, investors have tried to come up with ways to judge how the market is doing. One technique is to use market breadth as an indicator. There are a number of ways of doing this, but the basic idea is that you look at ALL the stocks in a particular

This is the fourth article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT). For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this series: Option Straddle Series – P&L Exits This post reviews the backtest results for 4120 options

Despite yesterdays rally in the major indices, the underlying breadth statistics were historically weak. After a steep selloff to begin the day yesterday, the stock market rallied late to close with solid gains. At least, the major large-cap averages did. The broader, smaller-cap indices mostly closed with losses on the day. Furthermore, the markets internals, e.g., Advance-Declines and New