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 […]

Continue reading

Two Swing Trade Systems – Part 2

Yesterday I discussed two swing-trade systems that work pretty well in out-of-sample data. While each works differently, they overlap enough that you don’t get any benefit from running them both at the same time. One great thing about these two systems is that they’re dead simple to manage. Trade at the open or the close, […]

Continue reading

Two Swing Trade Systems (Part 1)

In my recent posts I’ve made reference to various swing-trade systems I’ve developed, which I’ve used as data to discuss things like correlation, diversification, and the value of leveraged ETFs. I’ve had a number of people say, “Hey, what are these systems you’re referencing?”. The short answer is: they’re not something I’m discussing publicly. “But that’s […]

Continue reading

Discover Best Trading Rules with Perceptron Search

Every system developer has a list of rules and indicators that they want to test out. The problem every developer faces is narrowing down that list of rules and indicators to the select few that are best worth focusing on. A quite similar and related problem that every developer has to deal with is having […]

Continue reading

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. […]

Continue reading

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 […]

Continue reading

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

With the Christmas season upon us, I thought it would be interesting to review 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 back […]

Continue reading

Seasonality S&P Market Session

In a recent article, Seasonality Study, I took a look at the classic seasonality effect as seen in the U.S. markets. Briefly recapping that article, it shows that the trading days between November through May appear to hold significant gains in the market while the trading days between June and October hold far less profit. In this article I […]

Continue reading

Market Seasonality Study

With October over I thought it would be a good idea to review our Market Seasonality Study.  Back on May of this year, we closed a seasonality trade in anticipation for a traditional weak period of the stock index markets. That is, the months of May, June, July, August, September and October. So what did the […]

Continue reading

ARIMA/GARCH – Straight Out of the Lab to the Trading Scene

Arima/Garch hybrid model is one of the hottest area of research for both time series forecasting as well as modeling markets. I have spent over a year working with this methodology. Large Institutional Traders and Hedge funds are researching methods like this. In my opinion, your days are numbers as a trader if you don’t […]

Continue reading
1 2 3 27
>