Category Archives: Market Statistics

The Stock Market Has Been Very Generous to Gamblers

Posted on May 24, 2013 by Michael Harris

Simulations of a random system since SPY inception show that nearly 35% of random traders, human or automated, have made some profit. However, only 1% of random traders were lucky enough to exceed the buy and hold return with dividend … Continue reading →

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Technical Analysis and Cognitive Bias

Posted on May 17, 2013 by Michael Harris

One may find scores of recent articles in the blogoshpere calling for a continuation of the gold downtrend after a pause and an extension of the stock rally to … you pick the future date, all are there. In reality, these analysts are … Continue reading →

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Bluff in May and Sell in June

Posted on May 8, 2013 by Michael Harris

On May 3 of last year I wrote that “the market will punish those who sell in May and go away“.  And they were punished hard twice. First they chased the market and then they were squeezed out, only to see … Continue reading →

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Random Trading Versus Trading Randomly

Posted on May 5, 2013 by Michael Harris

Suppose a trader has purposely used a random system to trade SPY since its inception. What was the probability to make annually more than the buy and hold return? Or suppose a trader has worked hard to develop a trading system that generated a positive … Continue reading →

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Unique Period of Bond Yield Volatility a Result of Constant Portfolio Rebalancing

Posted on May 4, 2013 by Michael Harris

The 10-year Note yield rose 7.4% yesterday as managers were rebalancing their portfolios to reflect new information about the state of the economy and the objectives of the FED. This is a high level of daily volatility in bond yields and a phenomenon … Continue reading →

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Filtering Out Nearly Flat Days in a Moving Average Crossover System – Part I

Posted on April 30, 2013 by Michael Harris

This is Part I of a series of posts that deal with the concept of filtering out nearly flat days below some volatility threshold when calculating the moving averages of a crossover system. Specifically, the analysis in the series will attempt to answer whether … Continue reading →

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The Four Market Shocks

Posted on April 27, 2013 by Michael Harris

In the last 63 years there have been four major shocks after which volatility increased substantially. The last shock due to the financial crisis caused a volatility increase to new highs marking an alarming trend for the future. The increased volatility and … Continue reading →

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Is the IBM Drop a Signal of a Coming Market Correction?

Posted on April 20, 2013 by Michael Harris

After a drop of 8.28% on Friday, IBM erased all of its gains for the year. Is this an advance warning that the same will happen to S&P 500 soon? Apparently, history tells us that similar drops have happened just before … Continue reading →

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Correlation Spikes in the Commodity ETF Complex

Posted on April 16, 2013 by Michael Harris

Everyone who owns gold is rushing to sell before Cyprus unloads its holdings and maybe buy later when the dust settles. As a result of the herd behavior and the collapse in gold and silver prices, there were unprecedented correlation … Continue reading →

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Anti-Correlation Between Stocks and Bonds is Still High

Posted on April 1, 2013 by Michael Harris

The 12o-day rolling correlation between stocks and bonds made a low of -0.81 during February of 2012 and since then its has risen to slightly higher levels around -0.66. However, the correlation is still low and despite the correction due to a rise … Continue reading →

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