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DVB & TSI Ranking — Part II
Following on from my last post looking at TSI rankings to choose the market to trade DVB, I thought I’d follow up on a couple of the ideas mooted in my last post. The general idea is to trade the DVB...
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DVB Through the Crisis
I’ve been out of action trading wise for the last month. I got married at the start of the month and enjoyed an active yet refreshing honeymoon in Peru for 3 weeks (We’re not beach people!). Even in...
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Applying Normalised Volume
I’ve never been able to get much out of volume analysis, but then again I’ve not really given it too much serious attention. Logically, if the size of up days and down days has some predictive...
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Measuring Indicator Instead of Market Volatility
Question – Can you use volatility In DVB scores to modulate the indicators usage? Historically, mean reversion type indicators have performed better in volatile conditions compared to trend following...
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Dow Losing Run – Quick Stats
The Dow is on course of its 7th losing day. (Editor: Written on the First) Going back to 1990 there have been just five seven day losing runs and just two eight day losing runs (October 2008 and...
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When Does Oversold Become a Sell Signal?
My favorite short term indicator the DVB is not having a happy time of it, doggedly signalling long, but the market has been stubbornly refusing to listen…. Trading the indicator via the basic method...
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Equity Curve Surfing & Other Filters
Following my last post on the struggles the DVB indicator is having, a reader reminded me of this excellent post Jeff Pietsch’s “Market Rewind” blog. Worth a read certainly. The main highlights from...
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Days since 200-day highs
I found a recent post by Woodshedder on the behaviour of markets after 200 day highs and 200 day low absolutely fascinating. Well worth a read. I was interested in this conclusion: “The market making...
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What’s working right NOW?
There’s no doubt markets are behaving in a different than they have in recent history. Some short term indicators like the DVB have fallen out of sync with markets. While there are some ways to filter...
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FXE Tracker
In the on-going search for short term leading indicators FXE has done a nice job of leading SPY action over the past 2 months. Above is the FXE chart with SPY shown as the orange line overlay…all on...
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The Rolling Sortinos
In a recent post I previewed a neat service coming soon from my colleague Jeff Pietsch that ranks various indicators by their rolling 252 period Sortino ratio. I raised the possibility of being able...
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Adaptive PSAR Development: Back Tests’ Results Prior to the Walk Forward Test
In my on going quest to find the building blocks of a better, more adaptive Parabolic Search and Rescue Stop and Reversal system, I was coached by David Varadi of CSS Analytics and Jeff Pietsch, aka...
View ArticleFractals & The Importance of Time Frame Diversification
Investors and traders often take a one-dimensional view of time frames in the stock market. The media pundits often refer to the fact that it is a “bull” or “bear” market as if there was only one time...
View ArticleZ-Rank Beta: Identifying Outliers Using A Simple Calculation
Most conventional quantitative methods from forecasting to optimization suffer from the existence of large outliers in the data. There are many responses to remedy this problem, from using...
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SPY: Impact of Correlation
With this post I want to share some very interesting research insight from the world of correlation. Correlation metrics get a lot of attention during severe bear markets. That’s because most markets...
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An Experiment in Back Testing Methods 3-17-12
I’ve been working on bigger projects till about a week ago then I got real curious about a trading idea: what happens to S&P 500 next week when commodity currencies are aligned up or down the same...
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PSAR Walk Forward Test Report 5-26-12
After months of researching and coding and much help from Jeff Pietsch, I have finally completed the basic Walk Forward Test! The test is the classic by-the-book version for now. Later, I’ll try out...
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“All-Weather” Portfolio Derivation
The All-Weather Portfolio was introduced by Ray Dalio- the founder of Bridgewater -which is arguably the largest and most successful hedge fund in the world. His landmark concept was to create a...
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