Are Historical Data Prior to 2009 Obsolete for Developing Trading Systems?

I investigate the validity of claims that data prior to 2009 are obsolete for the purpose of trading system development. It is shown that a high proportion of profitable price patterns in more recent daily data maintain their profitability in past data. The results are statistically significant and the claim of prior data obsolescence can be rejected for the conditions of this particular study.

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There is Now a Good Excuse for a Correction

The technical picture of the stock market has been weak since last February but there was no trigger to cause a correction. The Fed waited for the trigger by delaying an interest rate increase and thus avoiding the blame for a correction.

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Posted in Technical Analysis | Tagged | 2 Comments

Market Analysis for Week of Monday, July 6, 2015 [Premium Articles]

This premium report includes technical and quantitative analysis for:

  • Indexes: S&P 500, NASDAQ-100, Russell 2000
  • ETFs: SPY, QQQ, DIA, IWM, GLD, SLV, TLT, USO, DBC, XLF, EEM, XLE, EFA, EWJ, XLP XLV, XRT, XLU, XLK, XLB, XLI, UNG, IBB, IYR, SMH, TAN, GDX, XHB, XME
  • Stocks: All Dow-30 components

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System Trading? Trading Experts? Let’s Be Honest

All trading methods arise from an esoteric complex process that is based on experience with the markets and quantitative skills. Experience is personal and difficult to convey to others. Quantitative knowledge can be achieved only through advanced education, an elaborate process. Furthermore, only an irrational expert will disclose an edge.

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Posted in Quantitative trading | Tagged , , , | 4 Comments

Switching From Stocks to Bonds Based on a 200-day Moving Average Crossover

I offer analysis in this blog motivated by a reply to a tweet I made yesterday regarding the essence of the 200-day moving average. I show that the choice of a 200-day moving average for the purpose of stock-bond allocation is sub-optimal. Furthermore, any reduction in drawdown levels can be attributed to the asset allocation rather than to some particular choice of moving average.

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Posted in ETF Analysis, Quantitative trading, Trading System Analysis | Tagged , | 13 Comments

One hundred and One Days to a Bull Trap

After 101 days, the longest consolidation in the S&P 500 ended with a sharp drop, triggered by a debt crisis in Europe. Bulls now hope that the Fed will run to the rescue.

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When Random Traders Profit, It is Hard to Prove Skill

It is shown that random, long-only position trading in SPY based on a biased coin has resulted in 100% winners. The simulation results also confirm that proving trading skill requires returns in excess of buy and hold return.

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Posted in Market Statistics, Quantitative trading | Tagged , | 4 Comments