Comments on: TED Spread as a (Pretty Good) Leading Indicator of the Stock Market

By: marketsci

marketsci — Tue, 30 Dec 2008 08:56:10 +0000

RE to Tim: when the entry criteria are no longer met – i.e. when the EMA is falling. michael

By: Tim

Tim — Tue, 30 Dec 2008 06:35:27 +0000

What is the exit criteria for this system?

By: marketsci

marketsci — Sat, 08 Nov 2008 00:38:38 +0000

RE to MW: this post generated quite a bit of interest so I’ll do a follow up with intra-month stats in the coming week. More to follow.

Thanks,
michael

By: Top Posts « WordPress.com

Top Posts « WordPress.com — Sat, 08 Nov 2008 00:36:34 +0000

[...] TED Spread as a (Pretty Good) Leading Indicator of the Stock Market This week I’m focusing on the TED spread and what it can tell us about the stock market. Not familiar with the TED [...] [...]

By: MW

MW — Fri, 07 Nov 2008 13:24:26 +0000

And how do the intra-month drawdowns look?

By: Friday links: not expecting the worst « Abnormal Returns

Friday links: not expecting the worst « Abnormal Returns — Fri, 07 Nov 2008 11:46:47 +0000

[...] How about a TED spread related trading strategy. (MarketSci Blog) [...]

By: marketsci

marketsci — Fri, 07 Nov 2008 03:48:49 +0000

RE to Eric: Long time no talk. I think it’s possible, but I think there’s a lot more direct, straight-forward ways to accomplish the same thing. The problem I think is that LIBOR is only going to reflect very specific types of market stresses.

Here was my approach: http://marketsci.wordpress.com/2008/10/15/a-new-approach-for-coping-with-abnormal-markets-shades-of-grey/

Good to hear from you,
michael

P.S. would love to see the output of your work when you get to a stopping point.

By: Eric

Eric — Fri, 07 Nov 2008 03:40:32 +0000

In previous posts you noted that your strategy got smoked during recent market volatility.

Do you think there could be some benefit in looking at some logic of ‘if TED spread > n then cut position size by xx%?’

It may be worth looking into. There are so many different position sizing routines one can add to even a mediocre strategy that help out tremendously.

Also, I have been poking around a lot more with building more adaptive strategies & overnight vs. daytime gains and so far the results are promising.

Regards,
Eric