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  • Not a Good Time to Brag About Returns December 30, 2021

    With the S&P 500 up 30% on a total return basis for the year, maybe this is not a good time to brag about returns. For that, let us wait for a more challenging year in the stock market. This has ...

  • Large Daily Gains Along Uptrends Are Rare December 28, 2021

    Historically, large daily gains have occurred along downtrends or at bear market bottoms. Large daily gains are rare during uptrends. This is maybe counter-intuitive but this is how the market has behaved up to this point. In this article, when the ...

  • “Do Nothing” Vs. “Do Something” Forecasts December 25, 2021

    Passive investing is 100% accurate because it follows price with no error. Anything other that passive investing requires “doing something” rather than “doing nothing.” Actions in markets require defining objectives. If the forecast is for higher prices, then doing nothing is ...

  • A Strategy For January Calendar Anomaly December 24, 2021

    In this article we use a strategy to analyze a variant of the January calendar anomaly in large cap stocks. The results are interesting and suggest this market inefficiency may be present but under specific conditions. For the backtests in this ...

  • The Second Strongest Year in Stock Market December 23, 2021

    With a total of 75 new all-time highs, this year has been the second strongest in the stock market since 1941. Since 1941, the strongest year was 1995 with 80 new all-time highs and 34% return for the S&P 500. This ...

  • Forex Market 19-Standard Deviations Event December 21, 2021

    The Turkish Lira gained 19.4% on Monday, December 20, 2021, which is a 19-standard deviations event based on available sample in last 20 years. In short-term this is a significant move but in long-term it is irrelevant. The chart below shows ...

  • Sell Side Has Been Persistent In Attacking Market Breadth December 19, 2021

    The sell side has been persistent lately in trying to convince investors that market breadth has deteriorated and only a small number of stocks are driving the indexes. The data show this is false. Possible motive of sell side is ...

  • Three Signal Services and Three Trading Strategies for Free December 17, 2021

    New additions to Market Signals and All in One subscriptions. With Market Signals subscriptions there are three bonus signal services and with All in One subscription there are three trading strategies in addition to the signal services. We have added two ...

  • Rank Metric Importance, Dynamic Selection and Ensemble Method December 17, 2021

    The choice of proper metric for equity long/short but also cross sectional momentum algos is of outmost importance. Often an ensemble method could provide good results but dynamic selection is a more promising but also more demanding quantitatively. When developing long/short ...

  • Contribution of Last Ten Trading Days of the Year to S&P 500 Performance December 15, 2021

    The last ten trading days of the year have contributed about 1% to S&P 500 performance on the average. A backtest also confirms this. The chart below shows S&P 500 returns for the last 10 trading days of the year. Since 1941, ...