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Monthly Archives: August 2012
Fooled by Multiple Comparisons When Developing Systems For Single Securities or Portfolios
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
Posted in Trading System Design, Trading System Synthesis
Tagged coin toss, curve-fitting, data-mining bias, fooled by randomness, multipel comparisons
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Price Action Lab Alert for Friday, August 31, 2012
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
What Can Technical Analysis Tell Us About the Future of Gold Prices?
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
SP500 Correlation with the Shanghai Stock Exchange Composite Index
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
Posted in Economic Analysis, Technical Analysis
Tagged correlation, S&P 500, SSE Composite
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TLT Retraces Exactly 50 Percent but Finds Resistance
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
Posted in ETF Analysis, Technical Analysis
Tagged anticorrelation, bonds, Fibonacci retracement, TLT
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This is the Reason the Average Joe Now Hates the Stock Market
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
Posted in Economic Analysis, Market Statistics
Tagged commodity prices, CRB, Wall Street
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ETF 60-Day Rolling Correlations
SPY 60-day rolling correlations with TLT, FXE, GLD, SLV, USO and DBC.
Australian S&P/ASX 200 Index Scan For Monday, August 27, 2012
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.
Further Analytical Evidence that VIX Just Tracks the Inverse of Price
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
A New Paradigm for Equity Investment Risk
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