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S&P 500: Never Down in December Three Years In A Row Since 1950

Although most seasonal patterns and calendar effects suffer from small samples and their statistical significance is limited, they are nevertheless interesting. For example, since 1950, the S&P 500 has never dropped in December three years in a row. In addition, … Continue reading

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RSI Indicator Levels Are Irrelevant For Timeframes Longer Than A Couple Of Days

Changes in Relative Strength Index (RSI) have low correlation with changes in price for timeframes longer than two days. This relationship is highly robust for four major ETFs. The conclusion is that only very short-term traders should look at the … Continue reading

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Russell 2000: New Uptrend Or Bull Trap?

The Russell 2000 index is up 18.6% year-to-date with the bulk of the profits realized in a rally that started a day before the elections. Any claims that the performance of the index is due to growth prospects under the … Continue reading

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Thirteen-Day Win Streak: Why In Russell 2000 And Not In S&P 500

The chances of observing a 13-day win streak in Russell 2000 after an event that triggers a strong uptrend are 40% higher than observing the same win streak in S&P 500.

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This Stock Rally Has Little To Do With Fundamentals

The S&P 500 has gained 5.41% in 11 trading days since November 7. There is the usual hype in the financial blogosphere about the cause of this move, including but not limited to unsupported claims about future growth prospects. But … Continue reading

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Machine Learning With DLPAL PRO (And R): Part Four

In this article we include R code for applying binary logistic regression classification to attribute data generated by DLPAL PRO and scoring a new instance.

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Hiring A Young God Guarantees Success

Imagine you could hire a young God to work for your hedge fund or help you with your trading and investments. That would mean immediate success but it is a silly idea. However, some recruitment ads come close to that.

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Ten-Day Win Streak In Russell 2000 And Small Cap Risks

Last time there was a ten-day win streak in Russell 2000 it was followed by a gain of more than 28% after a short-term correction of about 6%. Annualized volatility of small caps is on a longer-term uptrend and mean-reversion … Continue reading

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