Quantitative Analysis of the Stock Market Correction

The return of the last four days is slightly not normal and the Hurst exponent indicates a possible painful process towards a bottom.

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Market Analysis For Week of Monday, August 17, 2015 [Premium Articles]

This premium report includes technical and quantitative analysis of major U.S. stock indexes, 30 popular ETFs and all Dow-30 stocks.

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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.

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Posted in Asset Allocation, Risk Management, Trend following | Tagged , , | 2 Comments

Momersion Indicator

I introduced the notion of momersion in a recent article. In this article I present an indicator of momersion along with backtest results of basic systems.

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Posted in Quantitative trading, Trend following | Tagged , , , | 15 Comments

P-Dow and P-Etf Indicators [Premium Articles]

P-Dow and P-Etf indicator results after the close of Monday, August 11, 2015.

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Overnight Edge Update [Premium Articles]

In this report there are charts of six ETFs and eight high cap stocks that exhibit a persistent overnight edge this year. In addition, there are charts of four ETFs where the effect is re-emerging.

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Short-Squeeze Inside a 129-Day Consolidation Channel

There will be more short-squeeze moves such as the one we had yesterday while the S&P 500 tries to rationalize the direction of its next move. Shorts with deep pockets may survive the local squeezes only to see the index making new highs in the future.

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Adjusted Vs. Unadjusted Data

Yes, this is a heated subject but I hope that the example from recent SPY data will convince you that there is no easy answer.

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Posted in Quantitative trading, Trading System Analysis | Tagged , | 19 Comments