I was recently sent a copy of “Short Term Trading Strategies That Work” by Larry Connors and thought I’d post a review. The book covers many subjects that I’ve spent a lot of time looking at over the last two years. I gather that some of the book comes from previous articles posted by Mr. [...]
Archive for December, 2008
Book review: “Short Term Trading Strategies That Work” by Larry Connors
Posted in Book Review, Strategy ideas on December 30, 2008 | 8 Comments »
New System Announcement
Posted in Humor on December 25, 2008 | 14 Comments »
Well, I’ve completed work on a new system I wanted to tell everyone about. The system has some unique characteristics. First of all, I have no doubt that the system will lose money in the short term. However, the system has the benefit of hopefully long-term value and definitely has a great deal of short-term [...]
Update: ETF Correlation Tracker Tool
Posted in ETF Correlation Tracker on December 20, 2008 | 4 Comments »
Image via Wikipedia
I’ve updated the ETF correlation tracker tool today based on reader feedback. It now includes 10,50,120 and 260-day correlations on our ETF basket. Michael over at MarketSci sent me back a version that converted it to a heat-map where it is colored by percentage correlation, but he did it in Excel 2008 – [...]
Market Update – Market ratios and the Skills Index
Posted in Market Update on December 20, 2008 | 3 Comments »
Image by Cellach via Flickr
I am sitting up here on a Friday night wrapping presents and waiting for some sign that my wife will go into labor (no sign yet – the baby is late!), and we’ve gotten about 5 inches of snow in the past 3-4 hours. So I have had some time to [...]
New Free Tool: Correlation Tracker
Posted in ETF Correlation Tracker, Strategy ideas on December 18, 2008 | 10 Comments »
Image via Wikipedia
I’ve decided to publish a tool for readers on a weekly basis – I’ll see if people have any interest to decide whether to keep publishing it or not. The links below are to documents (in HTML and CSV form) that show the 50 day correlation between most ETFs available. There are about [...]
Unrelated post of the week – Arne Duncan as Secretary of Education
Posted in Politics on December 17, 2008 | Leave a Comment »
Arne Duncan was just nominated by Obama to be Secretary of Education. As it turns out, Duncan was a basketball player at Harvard University when a good friend of mine – Steve Bzomowski – was an assistant coach there. Steve has coached me in my basketball skills since the 1990s and is himself [...]
USD to Oil – will commodities take off again?
Posted in QuantCloud, Quantitative Analysis, Strategy ideas on December 14, 2008 | 1 Comment »
Image by Ian Muttoo via Flickr
Bill Luby at Vix and More seems to be stealing all my post ideas, but I’ll go forward with this one anyway. Damn you, Bill!
In any case – like Bill, I’ve been spending time looking at the correlation between the US Dollar and Oil (and commodities in general). Here’s a [...]
RSI2 follow-up for Bill Luby
Posted in Quantitative Analysis, Strategy ideas on December 11, 2008 | 9 Comments »
Image by Thomas Hawk via Flickr
On a recent post on Marketsci on the use of RSI2, Bill Luby of VIX and More posted the following comment:
Count me among the fans of RSI (2). I think you might get more interesting results — though with much more time out of the market — using 95/5 and [...]
Links of interest today…
Posted in QuantCloud on December 9, 2008 | 6 Comments »
Image via CrunchBase, source unknown
Mebane Faber over at WorldBeta has launched his new product – AlphaClone. Pretty interesting concept that picks up where his blog work left off. I’ll be taking a look – maybe publish a review.
Michael over at MarketSci does a detailed analysis of the RSI(2) strategy and finds some issues with the [...]
Hedge Funds Restructuring – a comprehensive list
Posted in Uncategorized on December 9, 2008 | Leave a Comment »
Image by C-Monster via Flickr
Just found this link to a PDF which has a pretty darn good list of all the hedge funds that are restructuring/going down. An interesting list.
