Category Archives: Market Statistics

Death Cross in SP500 After 1016 Days

Unless the S&P 500 closes on Friday above 2047.86, there will be a 50-200 death cross. The last one occurred 1016 ago on August 12, 2011. It appears that this type of signals like the month of August. Share

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Robots Do Not Take Vacations and Six Other Facts of Markets

The robot is the modern slave: no vacation, no coffee break. It is also a good tool to execute a correction during times humans are on vacation. This and other facts are included below. Share

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Day of Week Calendar Effects

A calendar effect is a market anomaly that is related to the calendar. In this blog I review a calendar effect anomaly in GLD related to returns during specific days of the week. Profiting from such anomalies is in general … Continue reading

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When Random Traders Profit, It is Hard to Prove Skill

It is shown that random, long-only position trading in SPY based on a biased coin has resulted in 100% winners. The simulation results also confirm that proving trading skill requires returns in excess of buy and hold return. Share

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How to Avoid the Next Stock Market Plunge

Whether you are a longer-term investor or a technical trader it is easy to get caught in stock market plunges, such as those that occurred in 2000 and 2007 and caused drawdown levels in excess of 50%. Share

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Stocks Struggle as Fed Waits for the Trigger

The chart shows that the rise in the S&P 500 since the start of 2014 took place at falling expectation. Actually, since the financial crisis bottom, only the 2009 and 2013 uptrends were genuine according to this indicator. During the … Continue reading

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The Stock Market Trend is Still Strong According to Kelly Leverage

Optimal leverage for continuous rebalancing of a passive SPY tracking strategy is still above its longer-term mean and far from trend reversal trigger levels. Technically, this is a strong market despite the recent consolidation. Share

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