- Dow Jones Industrial Average Up Nine Straight Weeks. What Does it Mean? February 23, 2019
Last time Dow Jones Industrial Average was up nine straight weeks was in May 1995 as the dot com “irrational exuberance” was brewing. Below are some statistics and my comments. Below is a chart of DJIA since 1915 with my Win ...
- Mean-Reversion Strategy For Dow 30 Stocks February 20, 2019
This mean-reversion strategy generates daily and weekly signals for Dow 30 stocks and it is not data-mined but based on a formula found in a text on probability that describes fundamental behavior of price action. The logic of this strategy is ...
- Illusions of Long-Term Performance Charts February 19, 2019
Long-term performance charts are often used as marketing tools. No serious quant analyst will ever base future performance prospects on long-term charts, especially from periods where there were no electricity, cars, planes and telephones.
- ETF Portfolio Trading with DLPAL S February 13, 2019
There was an article recently in a popular website discussing an ETF rotation strategy in weekly timeframe with excellent performance statistics. In this article we show how to develop strategies for trading ETFs that do not suffer from data snooping ...
- EOD or Monthly Price Series Momentum? Large Performance Difference in 2018 February 12, 2019
Long-only 12-month price series momentum in S&P 500 total return registered a loss of 7.5% in 2018 versus a gain of 1.2% for the 50/200 cross in daily timeframe. Below are the details. We consider the following two strategies: Monthly timeframe Buy at ...
- Strategy Based on Four ETF Pairs February 9, 2019
The main idea behind this ETF strategy is taking advantage of relative momentum as measured by four ETF ratios. Our analysis and conclusions below. One of our premium subscribers emailed us a link to an interesting article by Greg Morris in ...
- Gain 1% from Open to Close on a Down Market Day with Long Positions February 8, 2019
This is what DLPAL DQ managed yesterday: 9 long position signals in S&P 100 large caps as of the close of Wednesday, February 6, 2019, resulted in an average gain of 1% from open to the close next day with ...
- Portfolio Rebalancing is Market Timing January 28, 2019
Rebalancing a portfolio amounts to market timing. In this article we use the 60/40 portfolio to demonstrate how rebalancing affects performance due to timing.
- Probability of Back-To-Back Annual Loss in Stock Market January 5, 2019
Some analysts and fund managers expect gains in 2019 because back-to-back annual declines have been rare. This is faulty logic because it assumes representative sample, something that would require hundreds if not thousands of annual returns. At the end of ...
- Performance of Eight SPY Trend-following Strategies in 2018 January 2, 2019
Trend-following is not one particular strategy but an array of strategies with often divergent performance. In this article we list 2018 performance results for eight popular trend-following strategies applied to SPY. The eight basic strategies are listed below: Rules Timeframe Name Long: SMA(50) > SMA(200) ...
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