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A Significant Weekly Gain in S&P 500

The S&P 500 rose 4.12% this week, a gain that has occurred 84 times in the last 2,860 weeks since January of 1960, or with a frequency of 2.94% in the last 54 years. Since the 2009 bottom, weekly changes of more … Continue reading

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That Was Not a Correction But a Reversion to the Mean

The recent drop in stock prices was a normal reversion to the mean, as it is evident from statistics. On the other hand, the 2010, 2011 and 2012 drops were something more than a reversion to the mean, possibly due … Continue reading

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A Lesson For the Bears From 2007

Bears almost never get a top where they want it. During 2007, the S&P 500 fell below its 200-day moving average and then rose above it three times before forming a top and in the meantime it also made new highs squeezing … Continue reading

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S&P 500 Low Volatility ETF New All-Time Closing High

Although some may believe that the market is in correction mode the last three days amount to a short squeeze, SPLV, the SP500 low volatility ETF made an all-time closing high yesterday. The theory of parallel worlds applies to the market too. Share

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The Contrarian Z-Score and Why You Should Always Strive to Reject Trading Systems

When I first read about the z-score system some years ago I knew it was a fluke. Descriptive statistics cannot be easily converted to edges due to non-stationarity.  More importantly, a quant should be always suspicious and strive to reject systems. … Continue reading

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Stock Market volatility: The Good News and The Bad News

The good news is that although volatility has increased, it is not yet at levels that have historically signaled a top. The bad news is that volatility is also not at levels that have historically signaled a bottom. Share

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Three Good Signs From Yesterday’s Price Action

The Russell 2000 rose (IWM), along with social media (SOCL) and SPHB (S&P 500 high beta) was steady. While there are never any sufficient conditions hidden in price action, these are nevertheless three good signs but more support must come from fundamental news for … Continue reading

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