- One Way Of Measuring Long/Short Strategy Efficiency June 9, 2020
One way of measuring long/short strategy efficiency is to monitor short gains on the days the market rallies and long gains on the days the market falls sharply. This is an example below with DLPAL LS long/short signals for S&P 500 ...
- BA: 8 and 15-Sigma Events June 7, 2020
The stock of Boeing Co rose 41% on the week after rising 71% on week ending March 27, 2020. Those are 8 and 15-sigma events based on the weekly returns sample since 1950. Below is the chart with weekly returns and ...
- The Two Types of Financial Social Media Participants June 5, 2020
There are two main types of financial social media participants: those who constantly complain about market prices, central bank actions, interest rate levels, quantitative easing etc. and those who deal with reality. Anyone who participates in social media has witnessed a ...
- Using Different Long and Short Groups of Stocks with DLPAL LS June 3, 2020
Normally quants use one group of stocks with equity long/short strategies but some others use filters to identify separate groups for long and shorts. In this article we include details of how this may be done with DLPAL LS. DLPAL LS ...
- Context and Selection Bias Are Important June 3, 2020
The percentage of NASDAQ-100 stocks above their 50-day moving average reached as high as 99% on May 29, 2020. It may be important to take into account context and selection bias when looking at these breadth indicators. The chart below shows ...
- Update on PSI5 Mean-reversion in SPY ETF May 28, 2020
The PSI5 mean-reversion strategy in SPY ETF has fully recovered from March drawdown and it is gaining nearly 7% year-to-date. The PSI5 mean-reversion strategy is not data-mined but based on a formula from a text in probability theory that models price ...
- The Message is to Backtest Less May 27, 2020
In the last few days there were several posts in financial social media to a number of new articles about backtesting. While the articles are good for just beginners, the message when it comes to backtesting is to refrain from ...
- Opening Equity Markets for Just One Second Every Day May 26, 2020
Where would equity markets be if they opened for just one second every day so that the closing price was set equal to the opening price? We answer this hypothetical question in the case of three popular ETFs: SPY, QQQ ...
- Meta-Strategy Options For Equity Long/Short May 24, 2020
There are various strategies for equity long/short and some may be more suitable than others depending on market conditions but there are always trade-offs. On March 5, 2020, when we started our equity long/short daily signal service for S&P 500 stocks ...
- Stocks Go Up In the Longer-Term but If Investors are Lucky May 20, 2020
Longer-term equity index charts offer the impression that passive investing in the stock market is a no lose proposition. This is true only if someone is lucky and can be very patient… Is the chart of S&P 500 index below since ...
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