- Futures Are Not Equities And An Anecdote September 15, 2020
A few financial blogs announced the largest daily percentage loss ever in coffee futures yesterday. That was a blunder because futures contracts are not equities. Usually futures charts reflect continuous prices due to contract rollovers with historical prices adjusted to eliminate ...
- A Perfect Hedge Exists Only in Hindsight September 12, 2020
Some have argued in financial media that bonds have not been acting as a good stock market hedge this year. However, the data say otherwise. Those who look for perfect hedges will find them only in hindsight. When SPY was down ...
- Equity Of Daily S&P 500 Long/Short Strategy At New Highs September 11, 2020
The long/short strategy selects 5 long and 5 short stocks from S&P 500 on a daily basis. The signals are for the open of the day and positions are exited at the close. We started offering daily long/short signals from the ...
- Stock Market At An Extreme Mean-Reversion State September 6, 2020
After the extreme momentum state of the 70s followed by a significant regime change in late 90s, the stock market has recently entered an extreme mean-reversion state. We also discuss possible ramifications from this development and the contribution of new ...
- Buying Tech Stocks After Large Daily Gains September 2, 2020
The equity curve of this simple strategy is interesting as it reveals a major regime shift in market dynamics.
- PSI5 Mean-Reversion Win Rate August 28, 2020
The PSI5 mean-reversion strategy in SPY ETF is up 15.79% year-to-date after recovering from the March drawdown. The PSI5 mean-reversion strategy is not a data-mined but instead based on a formula from a text in probability theory that models price action. PSI5 ...
- Plaza Accord v2.0 August 26, 2020
The Plaza Accord on September 22, 1985, was the result of intense lobbying from companies like Caterpillar and IBM to depreciate the U.S. Dollar. That accord had many unintended consequences although it fulfilled some of the objectives of U.S. manufacturing ...
- No Overnight Risk – No Reward August 21, 2020
Overnight changes account for more than 93% of total return since SPY ETF inception. Below are the distributions and related charts along with the simplest possible explanations for this anomaly. The overnight effect anomaly in SPY ETF has been documented in ...
- Another ETN Tail Event August 14, 2020
The VelocityShares 3x Inverse Natural Gas ETN (DGAZF) surged more than 3600% in just five days when, according to our calculations, it should have dropped about 60%. This was another exchange-traded note tail risk event. Instead of trying to enumerate the ...
- A Trading Math Question with Nearly 75% Wrong Answers August 11, 2020
Nearly 75% of those who voted in a poll about a basic trading math question got it wrong. Here is the question and the solution.
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