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Tag Archives: correlation
One Stock Show
As of the close of yesterday, AAPL had a weight of 14.97% in QQQ composition. The 120-day rolling correlation between the ETF and the stock is currently at about 84% and rising. This is a one stock show and makes an index … Continue reading
Sustained Negative Correlation Bewteen Stock and Bond Returns is Problematic
Over the longer-term stock and bond returns show a small but positive correlation. Periods of sustained low negative correlation usually indicate increasing stock market uncertainty and risk. The 120-day rolling correlation between SPY and TLT has been on a downtrend since February of last … Continue reading
Posted in Economic Analysis, ETF Analysis, Technical Analysis, Trend following
Tagged correlation, SPY, TLT, yields, ^TNX
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Trading is Much More than Naive Statistics
If correlations meant anything significant as far as trading the markets then anyone who took a course in Statistics could become a rich man. Needless to say that trading the markets involves much more than math. Here I present trading system examples based on the … Continue reading
More on the Euro-Stocks Correlation – Graph Included
In my last post ”Stocks and the Euro: Correlation or Randomness?”, I pointed out that FXE and SPY correlate only about 60% of the time since 12/12/2005 on a daily basis and I argued that the purported by the media high … Continue reading
Stocks and the Euro: Correlation or Randomness?
Is the euro correlated to stocks and how high is this correlation we keep hearing about in major news reports and technical analyst interviews? In this post I will show that the purported correlation is just another mirage emanating from the … Continue reading
Posted in Economic Analysis, ETF Analysis, Trading System Analysis
Tagged correlation, EURUSD, GLD, random process
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