Posted in Strategy Update on February 18, 2009 | 1 Comment »
Image by Julián Contreras via Flickr
Just a little update here: VIX looks stretched here – and I’ve got a buy on a system based on the McCellan Oscillator which, in the past, has had a success rate of around 70% but started to fall apart in October. So, bottom line, I’m looking for a positive [...]
Posted in QuantCloud, Quantitative Analysis, Uncategorized on February 18, 2009 | 16 Comments »
Image via Wikipedia
Michael over at Marketsci asked a great question in his latest post – why do mutual funds continue to show no ability to think outside-the-box despite the abundance of alternative investment approaches that are available publicly (either from individuals or via public research) or from individuals that they could potentially hire to help [...]
Posted in MR1, MR2, Skills Index, Strategies on February 18, 2009 | Leave a Comment »
Image via Wikipedia
The Skills Index is back on sell again. This is a tough market, no doubt about it. Short term, though, I wouldn’t be adding to short positions here with RSI2 on the SPY down to around 3, and the percent of stocks in the SP-500 with RSI2 of less than 10 approaching 60% [...]
Posted in MR1, MR2 on February 10, 2009 | 2 Comments »
Image by Qba from Poland via Flickr
Hey all – I’ve got some new setups from MR1 and my new, still in development MR2 that I wanted to share with folks.
MR1: EWJ, OIL – both buy on the open with a 50% allocation to each.
MR2: DDM, DIG, MVV, RSU, SAA, SSO, URE, UWM, UYG – you’ll [...]
Posted in Skills Index on February 7, 2009 | 5 Comments »
Not really shocking based on the mini-rally we’ve been experiencing. Anyone notice that SLX has been killing it? We’re approaching resistance across the board – rising number of stocks with RSI2 of greater than 90 – so we are probably looking at a pullback next week.
Posted in Strategy ideas on February 6, 2009 | 11 Comments »
Image via Wikipedia
I don’t know about you, but I think Michael over at Marketsci has been publishing what I consider the best stuff on the web on adaptive systems. It has taken me a while to figure out how to do this with my own tools (Mike does this all in Excel – which is [...]
Posted in Uncategorized on February 6, 2009 | 8 Comments »
Image via Wikipedia
Market Monk has been doing an interesting series on Survivorship Bias – and how much of a problem it can be. What shocks me is that not one developer of system testing software has dealt with this. Here’s the deal – if you’re testing on the Nasdaq 100, your test is likely to [...]
Posted in Uncategorized on February 5, 2009 | Leave a Comment »
As part of creating more discipline for myself in terms of posting, I’m going to steal an idea from Headlinecharts and start making specific days of the week the time when I do repeated postings. So, I’ve decided that Thursdays are for Relative Strength. I’m posting two views of Relative Strength – one using my [...]
Posted in MOMO1, MR1, Strategy Update, TREND1 on February 2, 2009 | 1 Comment »
Not much to say about January except that it sucked. I didn’t even really realize how bad the month was until I ran the numbers below. Skills Index is still on sell, and I’ve been testing whether you should take the trade in the index on the breakdown or on the pullback – the answer [...]
