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Archive for May 20th, 2008

This will be a regular feature on Skill Analytics – I’ll be providing daily links of interesting quantitative trading ideas from around the web.

Bespoke Investment Group: Mid-Day Sell Off

Bespoke looks at the deciles that sold off of the S&P1500.

IBDIndex: A Closer Look at Profit Targets

IBDIndex, a fellow Tradersstudio user, does a comprehensive look at Profit targets and Stop losses.  The conclusions may seem a bit obvious – but it is important to have this kind of verification.

Quantifiable Edges: High Five

Rob looks at how the market does going forward after making a 5th higher-high.

Quantifiable Edges: Is A Low VIX A Short Trigger?

A day old but very much worth posting – Rob looks at a low VIX short trigger – the conclusion – not good.

The Dogwood Report: Triple MA Cross Over Update

Dogwood updates us on his testing his Triple MA Crossover system.

VIX and More: Strong Bear Signal VXV:VIX Ratio

VIX and More looks at the new VXV and what the ratio to the VIX could mean in terms of buy/sell signals.  I’m in the comments with a project idea based on an idea from another commentator.

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I’ve been reading a lot over the past week of people talking about the overbought nature of the market.  Now, they may be right or wrong in this particular case, but I was curious to see how the % of stocks over a 50 day moving average worked in terms of registering “overboughtness”.  So, I set up a simple test.  I first created my own % of stocks above a 50-day moving average using the SPX.  Next, I setup a test where I shorted the SPY when the % 50-day went from above 80 to below 80 over two days – essentially a cross overover.  I shorted the SPY on the open of the day after the event, and then I covered it 5 days later on the close.  I used data on the SPY from 1989 on.

My conclusion from these statistics is that using the % over a 50 day moving average is not very good at indicating a top.

Now, there are some natural issues with this approach – the chief one being survivorship bias in the index – I can’t currently calculate the index including stocks that may have been delisted – but the initial study does not look promising.

Over the next few weeks we’ll explore this idea a bit more and see if there are any workable systems based off of this basic idea.

Statistics:

Net Profit % -24.88%
Exposure % 8.14%
Net Risk Adjusted Return % -305.62%
Annual Return % -1.41%
Risk Adjusted Return % -17.28%
All trades 88
Avg. Profit/Loss -28.28
Avg. Profit/Loss % -0.30%
Avg. Bars Held 6
Winners 37 (42.05 %)
Total Profit 3886.3
Avg. Profit 105.04
Avg. Profit % 1.50%
Avg. Bars Held 6
Max. Consecutive 4
Largest win 287.1
# bars in largest win 6
Losers 51 (57.95 %)
Total Loss -6374.8
Avg. Loss -125
Avg. Loss % -1.60%
Avg. Bars Held 6
Max. Consecutive 12
Largest loss -469.7
# bars in largest loss 6

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