Category Archives: Market Statistics

Stock Market Catastrophology

I am not talking about the short-term swings this blog tries to anticipate but a much more serious decline due to some unexpected event. Here are two scenarios. Share

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There is No Overnight Edge in SPY

In January of 2011 there was an article in Bespoke about an overnight edge in SPY. I responded with two articles that showed that the edge was purely hypothetical. Since then, it is not even an issue of a hypothetical … Continue reading

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Rolling Expectation, Expectancy and Win rate of SPY

The rolling expectation, expectancy and win rate of SPY reveal interesting facts about the dynamics of the stock market. Share

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Directionless Market at a Crucial Turning Point

The S&P 500 is in a tight consolidation for 68 days while low volatility stocks are negatively impacted by the search for alpha even at higher beta. These unusual market periods often mark a significant turning point. But let us … Continue reading

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Long Consolidation Pattern in S&P 500 Continues

In the blog post “Is this the Year of Consolidation in the Stock Market?” in February I talked about the possibility of long consolidations in the market. I believe it is more important to expect these consolidations than to actually … Continue reading

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The Perils of Day and Position Trading in Zero-Sum Markets. Part Two: Futures Position Trading

This is the second part of a four part series on the perils of day and position trading in futures and forex markets. In this part, the results of a simulation of a large number of random trading systems in E-mini … Continue reading

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Money for Nothing and the ETFs for Free

Quantitative easing was the main cause behind the explosive growth in passive investing and the new trend of robo-advisors. Many now believe that money is virtual, they are created from nothing or from debt, and this can continue for a … Continue reading

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