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Short-Term Volatility Could Increase

Short-term volatility has decreased significantly in the first 13 trading days of this year, as shown in the chart below. Normally, volatility reverts towards its longer-term mean and this could translate to short-term losses for the stock market.

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Negative Gravity

Nearly a decade of explosive technological growth in the 1990s was followed by a collapse of 75% of the key index, the NASDAQ-100. Many investors lost everything but key aspects of the technology survived. The next five years of growth … Continue reading

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Hedge Funds Are Doing Well

Despite record outflows in 2016 and even a dose of the usual negative publicity, hedge funds have done well and the industry is looking forward to more growth. Based on performance data since 1977, hedge funds have outperformed the S&P … Continue reading

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Trading Strategy Development with DLPAL: Part Two

In this article we show one way DLPAL can be used to execute a long/short equity strategy.  The features generated by the p-indicator function of the program are used to identify long and short candidates. An example is included.

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Low S&P 500/Nasdaq-100 Correlation Positive For the Market

The 60-day correlation between S&P 500 and Nasdaq-100 has dropped to levels reached along the 2000s uptrend. Although correlation can be dubious measure, current low levels may indicate that there is potential in the market for further gains.

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Just Follow The System

It is paradoxical but investor anxiety rises near all-time highs. This may have to do with cognitive biases and specifically hyperbolic discounting, i.e., the tendency to want an immediate payoff. At the same time, when markets are rallying, there is … Continue reading

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Dow Jones Or S&P 500?

There was a heated discussion in Twitter a few days ago with even some harsh language about the importance of the Dow Jones Industrial Average now that the Dow 20,000 level frequently makes the headlines. The answer requires some trivial … Continue reading

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Diversified Portfolio Performance in 2016

The Price Action Lab Diversified portfolio ended the year with a gain of 9% and ranked second best among 29 well-known portfolios.

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