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We now have sufficient history to allow us getting an estimate of the probability of a large drawdown in U.S. stock indexes. Below are the results and our conclusions. We consider the following indexes: S&P 500 with data since 1960, NASDAQ-100 ...

Many references to increasing or decreasing volume in social media and financial sites naturally cause confusion regarding its importance in trading. Our results from a universe of 40 liquid ETFs and Dow 30 stocks point to the right answer. Before we ...

An analysis based on signal-to-noise ratio yields interesting conclusions about the future direction of the stock market. The signal to noise ratio (SNR) for a period N is defined here as the mean return divided by the standard deviation of returns ...

We do not offer a volatility strategy signal service due to the high risk of ruin. Here is a free strategy for trading ZIV and VXX along with measures of risk and comparison to our SPY MR5 mean-reversion strategy. As we ...

The price action anomalies considered apply to two low correlated markets. Since January 2010 and with only 20% exposure and lower volatility, these price action anomalies have captured 85% of buy and hold in one market and 2.7 times the ...

The meme out there is to “follow the system”. But you should follow a system as long as the underline market conditions that have contributed to its profitability persist. If not, you abandon it as quick as you can. This is ...

This is an update on the status of this important indicator. For more details about the Hurst indicator and its significance you may search the article in this blog. The important take is that low values of this exponent in S&P ...

There is no free lunch in portfolio allocation as any scheme that reduces the impact of adverse market conditions also adversely affects returns in bull markets.

Charts appeared in financial blogosphere after the all-time high in the index on Friday, January 12, 2018, that show the highest level in weekly or even monthly RSI(14) in more than 100 years in S&P 500. Do these charts make ...

In this article we compare current market and trading leverage levels in S&P 500 and Nasdaq-100 to levels before major corrections. Results are interesting. One measure of the optimal leverage (Edward O. Thorp), also known as Kelly leverage, is given as ...