Using a Self-Similarity Metric with Intraday Data to Define Market Regimes

The images above are the famous Sierpinski Triangle and the Koch Snowflake. These objects are “self-similar” and this means that examination at finer levels of resolution will reveal the same shape. Both are examples of “fractal” geometry, and are characteristic of many phenomena in the natural world such as mountains, crystals, and gases. Self-similar objects […]

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The Tough Truth About Part Time Trading

part time trading

Practically every week, I get an e-mail or two from an aspiring trader. “I want to make some extra money trading”, the story usually goes. Sometimes it is from young adults, already scrambling to get out of the rat race. Other times it is from a retired folk who suddenly realize that money is tight, […]

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Seasonal Strategies Built The Right Way

Many commodities, and even some individual stocks or stock groups, have recurring fundamental factors that affect their prices. These forcescan be seen by analyzing a market by day of week, day of month, or day of year. This is called seasonal trading.Almost everyone who did seasonal analysis back in the 1990’s made a big mistake. […]

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Sharpe Ratio – the right answer to the wrong question?

TradingEdgeVisualiser

Sharpe was the right answer First, let’s start with what Sharpe does well. There are two things it does well: Cross-asset unified measure: we all know that the most important component in alpha generation is asset allocation. Now, the difficulty is to have a single measure of risk-adjusted measure of alpha. This is where Sharpe […]

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Is The Christmas Season Bullish For U.S. Markets?

With Christmas just a few days  away , I thought it would be interesting to see how the S&P behaves in the days just before Christmas. Do the days just before this holiday tend to be bullish, bearish, or neutral? To test the market behavior just before the Christmas holiday I will use the S&P Cash index […]

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Broken Strategy or Market Change: Investigating Underperformance

Broken Strategy

I recently had someone email me about the performance of a strategy I created back in late 2005/early 2006 and traded for a few years. I remember the strategy being a daily mean reversion set up with an intraday pullback entry. I figured it probably had not done well over the last decade. I stopped […]

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Creatures of Habit

human or algorithm executing entries and exits

“Creatures”, in this case =  human or algorithm executing entries and exits.I was searching for a generic photo that has the different days of the week, but in different languages, when I came across this graph, which shows historical Days of Week averages of patients waiting for CT scans… which you may think has absolutely […]

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4 Ways to Increase my Discipline

4 Ways to Increase my Discipline

In the following rows I’d like to share with you three ways I use to increase my discipline which is the cornerstone of every successful trader I know. The discipline is often the missing part of many traders who try to conquer the financial markets. The below presented routines are not hard to do and […]

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Market Seasonality Study

With November almost over I thought it would be a good idea to review our Market Seasonality Study. If you will recall, back on May 18 of this year we closed our or seasonality trade in anticipation for a traditional weak period of the stock index markets. That is, the months of May, June, July, August, […]

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The Internal Bar Strength Indicator

The internal bar strength or (IBS) is an oscillating indicator which measures the relative position of the close price with respect to the low to high range for the same period. The calculation for Internal Bar Strength is as follows… IBS =  (Close – Low) / (High – Low) * 100; For example, on 13/01/2016 the QQQ […]

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