A profile of George Soros on the eve of his withdrawal from running outside money. (Bloomberg)
Sunday, July 31, 2011
Friday, July 22, 2011
Thursday, July 21, 2011
Wednesday, July 20, 2011
In reference to this article titled Maybe the best market timing strategy ever I ran a series of backtest reports to verify the concept..
1. “To exploit positive seasonality around the turns of each month: Buy at the close of the third-to-last trading of each month, and sell at the close of the fifth trading session of the following month.
2. “To exploit positive pre-holiday seasonality: Buy at the close of the third-to-last trading day prior to exchange holidays, and sell at the close of the last trading day before a holiday.
3. “Exceptions: If the holiday falls on a Thursday, sell at Friday’s close rather than Wednesday’s. Also, if the last day before a holiday is the first trading day of the week, don’t sell until the day after the holiday. Finally, never sell on the first trading day after options expire; instead wait an extra day.”
I had a problem programming the 3rd rule above , the “Exceptions” . I tried a bunch of different approaches but couldn’t seem to get the “exceptions as a quantified rule” correct for the back test. The results that you find below are based on the first 2 rules listed above.
Based on the first 2 rules listed above, below you will find the performance report based on taking a $10,000 position in the SPY for each signal since 1988. There have been 380 signals since 1988 and 220 have been winners for a 57.9% win rate. The average trade made .39% , a compounded return of 247% which is 5.43% per year.
Is a 5.4% annual return really the “best market timing strategy ever”? I think not!
Using the following rules you can more than double the historical performance.
1) Buy at the close on the 5th day prior to the end of the month then sell at the close after 6 trading days since entry.
2) Buy at the close on the 5th day prior to a holiday then sell at the close after 1 trading day since entry.
Below is the performance report based on the 2 "improved" rules listed above, this report is based on taking a $10,000 position in the SPY for each signal since 1988. There have been 380 signals since 1988 and 236 have been winners for a 62% win rate. The average trade made .59% , a compounded return of 745% which is 9.51% per year.
SPY XLF IWM QQQ EEM EFA EWJ
Monday, July 18, 2011
Sunday, July 17, 2011
Highly correlated markets are more volatile markets. (Don Fishback)
I will post on this one in a few and show the optimal entry and exits Maybe the best market-timing system ever
Wednesday, July 13, 2011
As a comparison , the table below shows the 1,2,3,4,5 day performance of buying 1 S&P contract at the open after the S&P had a higher close and the VIX had a lower close. This is a normal inverse S&P and VIX correlation and the historical results are improved when compared to the positive correlation.
The table below shows the 1,2,3,4,5 day performance of buying 1 S&P contract at the open after the S&P had a lower close and the VIX had a higher close. This is a normal inverse S&P and VIX correlation and the historical results are improved when compared to the positive correlation.
As a comparison , the table below shows the 1,2,3,4,5 day performance of buying 1 S&P contract at the open after the S&P had a lower close and the VIX also had a lower close. This is a positive S&P and VIX correlation and the historical results are negative when compared to the positive correlation.
Trade with the odds on your side , click here.
Monday, July 11, 2011
Below are a list of the the trade dates and prices, many of these trades were posted on Twitter and Facebook , follow us.
Sunday, July 10, 2011
How to reduce trading stress. (Attitrade)
Below you will find the most popular links from abnormal returns
· A must read on the psychology off all-time highs. (The Reformed Broker)
· How to short bonds. (Tyler’s Trading)
· 25 things every Wall Street summer intern should know. (NetNet)
· Using the Drudge Report as a contrarian indicator. (Bespoke)
· Some classic nuggets to start your week from Jesse Livermore. (Stock Sage)
· The shorts really hate these five stocks. (MarketBeat)
· The market looks cheap only because megacaps look cheap. (MarketBeat)
· Are underperforming hedge funds set to pile into equities? (FT Alphaville)
· High asset class correlations make for future sharp market moves. (Market Anthropology)
· What has gotten into gold (and silver)? (Stock Sage)
Saturday, July 9, 2011
This is the description as per the Lit Wick website
Three inside up bullish - How to Identify it:
- A bullish Harami pattern occurs in the first two days
- The third day is a white day with a higher close than the second day
As always if the term “Long” is used in the description, we will define “long” as a range that is greater than the 20 day moving average of range. When we test the pattern in a uptrend, we define uptrend as a close greater than the 50 day moving average and yesterdays 50 day moving average is greater than the prior days 50 day moving average.
We tested this pattern on every one of the S&P 500 stocks since 1990 and compared the performance results to the average 5 day move in all the S&P 500 stocks. The entry was at the open on the day after the "Three inside up bullish" pattern setup and 1 variations of the pattern , the exit was at the open 5 trading days after entry.
Below are the results of the "Three inside up Bullish", " Three inside up bullish with a close on the 3rd day greater than the high if the 2nd day". As a comparison the average 5 day holding period of all the S&P 500 stocks and all the other candlestick patterns that we have tested to date.
This pattern has historically under performed a random 5 day period and all other patterns tested. Trade with the probabilities, take a free 14 day trial here.
Friday, July 1, 2011