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During regular trading hours on January 27, 2021, CBOE SKEW Index dropped to a low of 79.25 possibly due to extreme divergence in prices of calls and puts. This development indicates that speculation in the stock market may have reached ...

The strategy in this article is based on an idea I call Newtonian fluxions applied to SPY ETF and Dow 30 stocks. The strategy reverses from long to short and it is constantly in the market. There is indication from ...

After the last two left tail events in equity markets, central banks have transformed left tail risk into right tail reward. Here are the numbers for S&P 500 total return. Central banks acted swiftly during the Financial Crisis of 2007 – ...

Applying pre-filtering to stock universe based on suitable criteria is often important before generating long/short signals. Below is an example from daily returns on January 6, 2021. We use DLPAL LS software to generate daily long/signal for S&P 500 stocks. The ...

I was not surprised to learn that quant funds using machine learning underperformed human traders in 2020. From the articles I read in financial blogosphere, it is clear that many quants who try to apply machine learning to trade the ...

The strategy trades long-only the top 20 stocks in the NASDAQ biotechnology index according to entry and ranking criteria in the monthly timeframe. This article includes backtest results and code for subscribers. NASDAQ biotechnology is a challenging sector for developing strategies ...

This article includes an analysis of the performance of the equity long/short signals offered by this blog on a subscription basis for education purposes only in the period March 3, 2020 to December 24, 2020. The analysis includes performance metrics, ...

According to reports, the average forecast by Wall Street managers is for the S&P 500 to rise 10%. This is a naïve forecast. Below is the distribution of annual S&P 500 returns since 1941. Based on the above sample, the mean annual ...

Emerging Markets moved to new all-time highs earlier this month after multi-year consolidation followed by wide swings. The gains may be attributed to recent US dollar weakness. In fact, a long position in Emerging Markets may be equivalent to a ...

When some people claim trend-following is dead, they do not mean there is lack of profitable strategies for trend-following but that the strategies that are used nowadays have no resemblance to those used in the past when this trading style ...