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Seasonality in the Bond Market? You Bet!

For those who are willing to see it, there is strong evidence that reasonably persistent seasonal trends exist in the stock market (see here, here, and here). But what about the bond market? Do seasonal trends exist there? Consider the following and decide for yourself. Junk vs. GNMA “Junk” bonds (more tactfully referred to as […]

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Using Metals to Trade Bonds

Sometimes things in the financial markets are pretty obvious if one is willing to see them.  Despite all of the angst that has been exhausted since July of 2016 – when the S&P 500 Index broke out to a new all-time high – regarding the 2016 election, the economy, interest rates and the “ultimate” effect […]

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MCVI Indicator and Strategy on Daily Charts

A while back we posted an article called, “Modified Chartmill Value Indicator“, the author presented an indicator that might prove helpful in your trading. The indicator is an oscillator which highlights overbought and oversold conditions. The author created a simple test strategy to test the effectiveness of the strategy. The results looked promising and you […]

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Market Seasonality Study

May is just about over and our seasonality indicator  recently exited a long position on May 18, 2017. This turned our Seasonality Bias, found on our State of U.S. Markets webpage, from green to red. At this time two of  the three indicators are red (Short-Term Trend and Seasonality Bias) which warns of possible weakness over the coming weeks […]

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Open Up!

This is kind of a weird one. I was mulling over the question of what happens when the market opens up, i.e. above its previous close. Is the day likely to be an up day? A down day? I got out of my data and started poking around. I looked at all “open-up” days with […]

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Back to Basics Part 3: Backtesting in Algorithmic Trading

Nearly all research related to algorithmic trading is empirical in nature. That is, it is based on observations and experience. This is in contrast with theoretical research which is based on assumptions, logic, and a mathematical framework. Often, we start with a theoretical approach (for example, a time-series model that we assume describes the process […]

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Finding The Optimal Period

Today’s topic is on finding the optimal periodicity for the RSI indicator and the techniques should apply to other sorts of indicators as well. The good news is that it won’t require any rocket science. John Ehlers has written a lot about this topic, and his articles spurred my interest in it, which frankly I […]

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System Performance and Confidence Interval

When you review the performance of a trading model, how do you know it’s worth trading for? How do you know it’s the right system for you? How confident are you that it will continue to profit in the future? When it comes to evaluating your trading model there are many factors to take into account. […]

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Back to Basics Part 2 – How to Succeed at Algorithmic Trading

Algorithmic Trading

–by Kris Longmore from blog Robot Wealth There is a lot of information about algorithmic and quantitative trading in the public domain today. The type of person who is attracted to the field naturally wants to synthesize as much of this information as possible when they are starting out. As a result, newcomers can easily be overwhelmed […]

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Searching for an Efficient Market Regime Filter

The probability of our long term success as traders increases when we trade with the prevailing market trend. This means when trading stocks we should be buying when the overall market is rising and/or shorting when the overall market is falling. In order to filter trading opportunities therefore, we need an efficient way of determining the current […]

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