Monthly Archives: August 2012

Fooled by Multiple Comparisons When Developing Systems For Single Securities or Portfolios

Posted on August 31, 2012 by Michael Harris

The idea that systems developed on historical data of a portfolio of securities have better chance of being non-random as compared to systems that are developed for a single security is based on the assumption that the size of the rule set used in the data-mining … Continue reading →

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Price Action Lab Alert for Friday, August 31, 2012

Posted on August 31, 2012 by Price Action Lab

Second full moon in August, Bernanke speech, a day before a long weekend that marks the end of summer. This is a special day and so could be its price action. This alert is about patterns in three Dow-30 stocks. The new portfolio … Continue reading →

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What Can Technical Analysis Tell Us About the Future of Gold Prices?

Posted on August 30, 2012 by Michael Harris

Basically not that much for a medium to longer-term timeframe. This is because the price of gold in the future will depend on several factors some not directly reflected in current price action, simply because they are unknown. Of course, this is true with … Continue reading →

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SP500 Correlation with the Shanghai Stock Exchange Composite Index

Posted on August 30, 2012 by Michael Harris

The 30, 60 and 120 -day rolling correlations of the S&P 500 index with the Shanghai Stock Exchange composite index have been historically low and have ranged all over the place, from positive to negative. Other than during a very short period … Continue reading →

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TLT Retraces Exactly 50 Percent but Finds Resistance

Posted on August 29, 2012 by Michael Harris

The retracement of the TLT drop after the July 26 high of $132.21 down to the August 16 low of $120.52 is currently at a 50% level. Yesterday, TLT made a high just one tick below this important retracement level and … Continue reading →

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This is the Reason the Average Joe Now Hates the Stock Market

Posted on August 27, 2012 by Michael Harris

Stock market hatred has risen at an alarming rate during the last 5 years, especially after the financial crisis. Partly,  this alarming phenomenon is due to the news media pointing the blame for the crisis mainly on those who issued the subprime … Continue reading →

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ETF 60-Day Rolling Correlations

Posted on August 26, 2012 by Michael Harris

SPY 60-day rolling correlations with TLT, FXE, GLD, SLV, USO and DBC.

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Australian S&P/ASX 200 Index Scan For Monday, August 27, 2012

Posted on August 26, 2012 by Price Action Lab

The S&P/ASX 200 index is scanned for price patterns formed as of the close of Friday and portfolio backtesting on S&P/ASX 20 stocks is used for cross-validation.

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Further Analytical Evidence that VIX Just Tracks the Inverse of Price

Posted on August 25, 2012 by Michael Harris

In two separate posts this week I argued that VIX has no predictive capacity and that it simply tracks the inverse of price. I also asserted that a new paradigm has emerged in the markets according to which equity investment risk … Continue reading →

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A New Paradigm for Equity Investment Risk

Posted on August 23, 2012 by Michael Harris

Equity investment risk is proportional to the inverse of price. This is the new paradigm for risk in the equity markets. As prices increase, risk decreases. As prices fall, risk increases. This is happening mainly because of momentum trading and … Continue reading →

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