Archive for January, 2009
Happy (Belated) Chinese New Year
A very happy year of the ox to everyone. As long-time readers know I spend a good part of the year in Asia and am here for the festivities (and eating) and visiting the Other’s family (and eating) and writing this blog post (while eating). Posting will be light in the near future, but if you’re [...]
Filed under: Random Stuff | 7 Comments
The State of the Market report is looking for a bearish start to the trading week, but the confidence in that call is smaller than usual because of the “abnormal market filter” I wrote about on Saturday. Trading strategy MarketSci will start the week neutral, and YK and Scotty both net short (with position sizes reduced as a [...]
Filed under: State of the Market Report | 13 Comments
Abnormal Market Filter in Action
Back in October I talked a lot about a mechanism to determine when the market was acting “abnormally”. My solution was fairly simple; I measured when the market had become extremely stretched (either up or down) under the premise that when the market reaches extremes, it is prone to sharp, unpredictable, portfolio-busting moves. A flavor of that [...]
Filed under: Trading Strategies | 12 Comments
This is a third contribution from Andrey S. of Russia (also responsible for the trading nuggets here and here). Needless to say, Andrey is this short-on-time blogger’s best friend at the moment. Here Andrey shows that some hi-yield bond funds exhibit strong weekly follow-through. By “follow-through” I mean up weeks tend to be followed by [...]
Filed under: Trading Strategies, Treasuries & Interest Rates | 8 Comments
This post comes from Andrey S. of Russia (who was also responsible for the test of Monthly Seasonality in Latin America). Andrey is critiquing a trading strategy presented at another site (which shall remain nameless because I’m a nice guy). The trading strategy calls for shorting the Dow 30 Index at the open if the [...]
Filed under: Random Stuff | 13 Comments
