- Traders Prefer High Volatility, Investors Low May 18, 2020
In the markets there are short-term traders and tactical investors. Both these market participants and their strategies are usually considered the same group but this is due to confusion: traders need high volatility to profit whereas tactical investing works best ...
- New DLPAL Software Manual and Articles Section May 14, 2020
We have organized the manuals and articles of DLPAL S, DQ and LS in a separate section in the blog so that they can be easily accessed by mobile devices. The manuals and articles can be found here. Below is a ...
- Has the Overnight Anomaly in SPY Disappeared? May 12, 2020
The overnight anomaly, or overnight effect, in SPY ETF, fell more than 30% during the recent market crash. Has this persistent market anomaly in the last 27 years finally disappeared? Here are some thoughts. Below is a chart that shows this ...
- DLPAL LS Smoothed Features Add-on May 10, 2020
We are pleased to announce the release the smoothed features add-on for DLPAL LS software. Development and testing of the smooth features add-on for DLPAL LS took close to a year. The add-on is now available for DLPAL LS version v5 ...
- Price Action Analysis Charts May 7, 2020
Instead of drawing lines and adding popular indicators on charts we spend more time analyzing price action. Here are some of the charts we look at among many others using SPY as an example. Serial correlation of daily returns Overnight versus RTH ...
- To Hedge the Tail Risk or Not to Hedge? April 30, 2020
There is widespread misconception that tail risk hedge can offer protection from black swans. This is unlikely since depending on the severity of a black swan there may be impact on financial transactions. Tail risk hedges may be useful under ...
- Performance of Weekly Equity Long/Short Strategy April 27, 2020
Performance of weekly long/short strategy from January 2, 2020 to April 24, 2020. The weekly dollar neutral long/short strategy trades long the top three and short the bottom three Dow-30 stocks in weekly timeframe with equal equity allocation. The stock selection ...
- You Can Hide Negative Prices But Not The Volatility April 23, 2020
Backadjusted crude oil futures contracts absorb negative pricing but not the volatility spike. Here is the daily backadjusted chart with 21-day standard deviation of daily returns. Data and backadjusting from Norgate. Volatility surged to more than 18% from an average of about ...
- Another Tail Event That Probably Does Not Mean Much April 21, 2020
May crude oil contract prices went negative Monday, April 20, 2020, due to technical considerations. The plunge in negative territory was a tail event that according to models has zero probability. Models diverge from reality. Respect for the traders. This is ...
- Long/Short Signals for April 21, 2020 [DLPAL LS Signals] April 21, 2020
Daily long/short signals for S&P 500 stocks. Access to article requires DLPAL LS Signals subscription.
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