Random Nuggets
Some random nuggets I’ve been meaning to get to:
1. Market Rewind’s new ETF Rewind tool
2. An academic take on overnight vs daytime performance
3. A fancy RH presentation
Market Rewind’s New ETF Rewind Tool
Good friend Jeff Pietsch of Market Rewind has launched a new tool ETF Rewind that I think a number of our readers would be interested in.
ETF Rewind is a nightly snapshot of where a broad universe of ETFs (domestic and intl. equities, currencies, bonds, commodities, etc.) stands on a number of key statistics used by traders, with additional bells and whistles including pairs-trading analysis, correlation matrices, and MPT analysis.
Our trading styles are different in that I’m 100% mechanical, but for traders taking a more discretionary approach using technical indicators, I think the ETF Rewind is definitely worth taking for a spin.
Note: I am not being compensated for this post. I just like plugging the work of folks that I feel are one of the “good guys”.
An Academic Take on Overnight vs Daytime Performance
Click for a paper sent to us by Professor Michael Kelly of Lafayette University, “The Difference is Day and Night”.
The paper covers something I’ve talked about before on this blog, the difference in performance between the overnight (close-to-open) and daytime (open-to-close) markets. Kelly reaches a similar conclusion, that the overnight market has consistently outperformed the daytime market (which has all sorts of implications to both day traders and swing traders).
I’ll add one more conclusion that our last two major bear markets have confirmed: bullish trends in the stock market tend to play out in the overnight market, while bearish trends tend to play out in the daytime market (read more).
This observation is still on my to-do list to turn into some kind of tradable strategy.
Fancy RH Presentation
Scott Daly of Comprehensive Capital Management, who provides our managed accounts, has a new presentation out for our RH Program. RH has been absolutely crushing the market for going on almost three years through some very tough markets. Thought I’d share for the visually-oriented.
Note that these returns are a bit different than the ones presented on this blog because these are net of a 2.5% annual management fee, and show a 50/50 combination of the S&P 500 and Russell 2000 programs.
EDIT: In the interest of maximum disclosure, as of the time I’m writing this, RH is having a terrible month and is in the neighborhood of its maximum historical intramonth drawdown. Those results for March are not yet reflected in this powerpoint presentation.
Happy Trading,
ms
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Filed under: Random Stuff | 6 Comments
That’s a great looking presentation.
Yes Ive too seen evidence of a strategy buying on the close, selling on the open generating a 17% annualized return over the last 20 years on the SP500, I think this is the premium you are payed for the risk of holding the bag overnight, I think certain filters like only buying after a big down day could improve performance.
Jared.
I just saw this, thank you Michael. You are an Officer and a Gentleman. Also, hope Korea rocked! Cheers, Jeff
RE to Jeff: No problem sir…good luck with the launch – I think this thing has tons of potential! michael
I’m sure Jeff’s ETF Rewind is a great site. I haven’t looked at it yet. Michael, your description of reminded me of ETF Screen (http://www.etfscreen.com/), a site that’s been around and doing a very job for quite a long time. It deserves a mention as well.
RE to Blue: not familiar with ETF Screen, but duly noted. I’d encourage readers to add any other similar tools here that they’re familiar with as well. Thanks Russ, michael