- Volatility Trading Paradise November 14, 2020
Anyone trading volatility and not realizing a return of at least 100% this year is probably doing it wrong. The simple strategy mentioned in this article is up 280% year-to-day. The last few years have been a volatility trading paradise. This ...
- Momentum Tail Risks Are Not Rare Events November 13, 2020
A momentum crash occurred on Monday, November 9, 2020, with some financial sites reporting a “one in a lifetime event” with nearly 0 probability. Bloomberg called it “an event that never could happen.” However, the truth is that these events ...
- ETF6RW Weekly Strategy October 29, 2020
ETF6RW is a new strategy in the weekly timeframe that will be included in Market Signals reports next year. The strategy invests in top three from a group of six ETFs based on a rank function. Rebalancing occurs on a weekly ...
- All Weather Portfolio Vs. 60/40 and Buy and Hold October 28, 2020
The All Weather portfolio has the highest Sharpe and MAR ratios since 2007 when compared to 60/40 portfolio and buy and hold but the lower risks come at the expense of annualized return. Ray Dalio’s All Weather portfolio has actually managed ...
- Autoupdate Option for DLPAL LS Feature Files October 21, 2020
We are pleased to announce new capability of updating automatically historical feature files generated by DLPAL LS software. This is achieved with the auto-update add-on (AUA). Below is how historical features files are updated manually. This is an example of DLPAL ...
- The Stock Market is a Better Casino October 17, 2020
More gamblers are realizing this year that the stock market is a better casino because it offers higher odds of winning than traditional gambling. This may be one reason for the large influx of new speculators to the stock market ...
- A Note About the Overnight Anomaly in SPY ETF October 8, 2020
The overnight anomaly in SPY ETF reveals some interesting dynamics of price action but it is not a strategy that can be exploited for profit. The overnight anomaly in SPY ETF is known since the late 1990s. There are many articles ...
- “Buying the Dips” Hits New Record October 1, 2020
“Buying the dips” has just hit another record in NASDAQ-100 and a related ETF. Technically, this is the reason tech stocks have had a strong performance year-to-date. The percentage of down NASDAQ-100 days that are followed by up days in a ...
- Equity long/short Performance: Adjusted Vs. Unadjusted Data September 24, 2020
In this article we look at few examples of the impact of adjusted vs. unadjusted data for dividends on features calculations used for an equity long/short strategy. For the backtests in this article we used Norgate data for S&P 500 index that ...
- A Significant Anomaly In GLD Gold ETF September 17, 2020
Since GLD ETF inception, price evolution has been driven solely by overnight changes and regular trading hours have contributed only noise. This is a significant anomaly. GLD ETF was one of two ETFs included yesterday in a premium article that display ...
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