Calendar Month Seasonality Debunked?
In my previous post, I showed what I think is clear evidence that âsell in Mayâ (i.e. trading the strongest contiguous 6 months of the year) is mostly bunk.read more...
View ArticleExtended View of SPLV (Low Vol) and SPHB (High Beta) ETFs
I find the results of the SPLV (low volatility) and SPHB (high beta) ETFs since their launch in 05/2011 fascinating (h/t VIX & More).read more...
View ArticleShort-term Mean-Reversion in SPLV (Low Vol) vs SPHB (High Beta)
Recall the graph below from my previous post extending the historical data for the ETFs SPLV (low vol) versus SPHB (high beta) back to 01/2007 (adding 4+ years of additional data prior to each ETFâs...
View ArticleFollow Up to the VIX-based RSI(2) Strategy
This is a follow up to a strategy presented by STS in Profit by Combining RSI and VIX, and originally proposed by Larry Connors in Short Term Trading Strategies that Work.read more...
View ArticleVisual Depiction of SMA vs EMA Weighting
Inspired by Hyperq (hat tip The Whole Street)â¦read more...
View ArticleDay of Month Seasonality for May
A topic recently on me noggin has been day-of-month seasonality (read more, more, and more). Using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month...
View ArticleâSell in Mayâ Quant Blogosphere Roundup
There has been an abundance of âSell in Mayâ analysis out of the quantitative blogosphere this week. A quick roundup:read more...
View ArticleLongest Day-of-Week Winning Streaks in Context
As noted by Paststat, yesterday marked the Dow Jones Industrial Averageâs 18th straight winning Tuesday. How rare an event is that? Veryâ¦read more...
View ArticleDay of Month Seasonality for June
A topic recently on me noggin has been day-of-month seasonality (read more, more, and more). Using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month...
View ArticleDay of Month Seasonality for July
A topic recently on me noggin has been day-of-month seasonality (read more, more, and more). Using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month...
View ArticleDay of Month Seasonality for August
Last year, using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month that have been strong historically has consistently led to much stronger future...
View ArticleDay of Month Seasonality for September
Last year, using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month that have been strong historically has consistently led to much stronger future...
View ArticleDay of Month Seasonality for October
Last year, using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month that have been strong historically has consistently led to much stronger future...
View ArticleDay of Month Seasonality for November
The out-of-sample performance of the day-of-month seasonality idea I began sharing over a year ago has been impressive, with the “best half” of days about 3 times as bullish as the “worst half”. I...
View ArticleDay of Month Seasonality for December
Last year, using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month that have been strong historically has consistently led to much stronger future...
View ArticleDay of Month Seasonality for January
Last year, using a simple walk-forward test to minimize hindsight bias, I showed that trading the days of the month that have been strong historically has consistently led to much stronger future...
View ArticleDay of Month Seasonality for February
Iâm considering whether to discontinue these monthly day-of-month seasonality posts. Iâve been doing these for 16 months now with excellent results: the S&P 500 on the best half of days has...
View ArticleDay of Month Seasonality Discontinued
As previously mentioned, I’ll no longer be issuing day-of-month seasonality maps each month.read more...
View ArticleMore on TradingMarkets.comâs RSI(2) Strategy
Back in 2012, I penned a friendly debunking of TradingMarkets.comâs RSI(2) mean-reversion strategy for trading the volatility ETN XIV.read more...
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