Market Analysis For Week of Monday, July 20, 2015 [Premium Articles]

This premium report includes technical and quantitative analysis for:

  • Indexes: S&P 500, NASDAQ, Russell 2000
  • ETFs:      Thirty liquid issues
  • Stocks:    All Dow-30 components

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S&P 500: Largest 5-Day Gain Since 2014 Inside a 113-Day Consolidation Channel

The S&P 500 has had its best 5-day gain since December of last year but price action is still trapped inside a 113-day consolidation channel. The gain of the last five days could be a signal of a new uptrend but we must also keep in mind that technicals have deteriorated this year to a point that a medium-term top can form if there is a trigger event.

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Selection Bias and Momentum Systems

Momentum systems are popular because they are supposed to generate excess alpha at lower risk. However, as in the case with traditional trading systems, momentum represents just another method that must be tested for significance and, more importantly, for intelligence in capturing alpha.

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Posted in Quantitative trading, Trading System Analysis, Trend following | Tagged , , , , | 22 Comments

Chartist Claims Debunked With Simple Math

A chartist I know sees a massive top formation in S&P 500. I replied to him that he has been wrong several times in the past with such random formations. He argued that although he is frequently wrong, almost 80% of the time, if he can make 5 times what he loses on the average he can make money longer-term. Math says forget about it.

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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 quite difficult but not impossible.

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Solar Eclipse

The Guggenheim Solar ETF (NYSEARCA:TAN)  was up as much as 48.5% for the year in mid April only to go in the red last week with a YTD loss of -1.26%. The annualized standard deviation is 32.5%.  It is shown in this blog that the correlation with Chinese stocks and oil is high. Investing in such a market is indistinguishable from gambling money in the casino game of roulette.

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