- How Risky Is The 60/40 Portfolio? June 10, 2017
The correlation between the 60/40 strategic allocation and the equity market in the last 30 years is close to 0.9. Actually, portfolio risk, as measured by maximum drawdown, has only been low during strong equity market uptrends.
- Investing in European Stocks is a Forex Bet May 29, 2017
Investing in European stocks is a forex bet.
- SPY: Price Action Update [Premium Articles] May 26, 2017
This is a price action update for SPY ETF based on results from the P-DOW indicator. Below is the SPY daily chart as of the close of Thursday, May 25, 2017. The P-Dow indicator generated a value of 0.43 as of the ...
- What You Want From The Market Vs. What It Can Give You May 21, 2017
Although there are many rules about trading, I can offer only one in this article because after nearly 25 years in the markets, I have seen many popular rules violated one after the other.
- Despite Bear Markets, the S&P 500 Is An Intelligent Trading Strategy April 8, 2017
The S&P 500 is an intelligent trading strategy and a popular benchmark.
- Update On the Bond Anomaly [Premium Articles] April 5, 2017
This is a significant price action anomaly in bonds that is responsible for more than 50% of total return since 2002.
- Portfolio Level Mean-Reversion Strategies [Premium Articles] March 17, 2017
One could probably start a small hedge fund with one of these strategies and do much better than most peers. The strategies trade Dow30 stocks in short-term mean-reversion mode. The first strategy is based on RSI(2) indicator and the second on ...
- Mean-Reversion In Weekly Time Frame [Premium Articles] March 11, 2017
In this article we consider a mean-reversion strategy in the weekly time frame and a few other related strategies. Mean-reversion strategies in daily time frame have performed quite well in recent years. But do they also work well in the weekly ...
- Statistical Tests Of Unique Hypotheses [Premium Articles] February 25, 2017
This article discusses the application of statistical significance tests in the case of unique trading strategy hypotheses. As an example we use a strategy based on the current 5-week winning streak in S&P 500. Note that the tests in this article ...
- Is the Bulk of Technical Analysis “Thinking in Words”? February 19, 2017
Until now I thought that the main problem of technical analysis is bias of all kinds. A tweet from N. N. Taleb yesterday got me thinking. Maybe there is a more serious problem than bias: thinking in words.