Category Archives: Risk Management

Short-Term Rate Increase Neutralized

On December 16, 2015, when the Fed raised short-term rates, the 10-Year Note yield was at 2.29%. After about a month, the market has neutralized the Fed action and the 10-Year Note yield has fallen by about 25 basis points. … Continue reading

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Traders Should Diversify During Rough Times

Even if only one trade out of several bad trades shows a small gain, large losses can be reduced substantially. Here is an example from last week. Share

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Dow30 Stocks and Major ETFs That Point to a Major Change in Market Dynamics

These 16 Dow30 stocks and ETFs dropped more than 15% on August 24, 2015 and some have recovered since. In this new era of high frequency trading, even high cap stocks and popular ETFs can be part of speculative plays … Continue reading

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The Probability of a Major Top in Stocks is About 30%

This is a crude measure of the probability of a major top in stocks based on the signal-to-noise ratio and corrections of more than 25%. Share

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Probability Investing

After an amazing blog post by Howard Lindzon last night mentioning probability investing I decided to write a few things about it but the topic is vast and I will have to come back. All quant traders should be aware of … Continue reading

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A Possible Revenge of the Efficient Market Hypothesis

A virtually flat S&P 500 for 133 days this year may be an indication that the efficient market hypothesis is taking its revenge. Share

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Identifying Momentum Price Patterns

Momentum is usually identified by a simple price pattern that compares current price to price N periods ago. This article considers an extended class of momentum price patterns and the results are used to develop longer-term trading models based on … Continue reading

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