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SP500 Attractor

The S&P 500 index is trapped inside a 119-day consolidation channel between 2135 and 2040. There is an attractor near the February lows that offers strong support for a technical correction but a move below that would possibly require a … Continue reading

Posted in Technical Analysis | Tagged | 4 Comments

An Ominous Random Pattern

I show in the blog that the candlestick pattern known as bearish engulfing is no more than a random formation even when it occurs near 52-week highs. Although this and a host of other related patterns are useless for making … Continue reading

Posted in Technical Analysis, Trading System Analysis | Tagged , , | 5 Comments

A Predictable Decline in Crude Oil

Last week USO plunged 5.65%, which was the largest weekly loss in this ETF since March of this year. This was one of those rare times that a move was predictable. Share

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Mean Compound Annual Return MCAR

The buy and hold return depends on the holding period. However, it is absurd to consider that all buying took place at the beginning of a given period. In uptrending markets, buy and hold returns based on the start date … Continue reading

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Asset Allocation Models Based on Moving Averages Are Dumb

Asset allocation models based on moving averages are dumb in the sense that they cannot adjust to changing market conditions. They are also risky because they reflect wishful thinking. Below is my analysis for open-minded individuals who place reason over … Continue reading

Posted in Asset Allocation | Tagged , | 6 Comments

S&P 500: Largest 5-Day Gain Since 2014 Inside a 113-Day Consolidation Channel

The S&P 500 has had its best 5-day gain since December of last year but price action is still trapped inside a 113-day consolidation channel. The gain of the last five days could be a signal of a new uptrend … Continue reading

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Selection Bias and Momentum Systems

Momentum systems are popular because they are supposed to generate excess alpha at lower risk. However, as in the case with traditional trading systems, momentum represents just another method that must be tested for significance and, more importantly, for intelligence … Continue reading

Posted in Quantitative trading, Trading System Analysis, Trend following | Tagged , , , , | 22 Comments