Archive for May, 2009
Out and About
I’ll be travelling until the end of the month. The Other and I were getting the kind of itchy feet that only a road trip can cure. Daily updates to the State of the Market report (and of course, our actual business) will continue as usual, but the blog will be napping while I’m away. If you’re looking for [...]
Filed under: Random Stuff | Leave a Comment
A brief break from the geekery for some for-profit stuff. It’s difficult for readers to get a good sense of the correlation between our proprietary strategies just based on our reported returns. The programs started at different points in time, and two in particular have fairly short track records. So below I’ve created a correlation [...]
Filed under: Random Stuff | Leave a Comment
I’m doing a little playing around with the short-term interaction between the price of gold and the stock market. Some semi-interesting observations… The table above shows the next-day performance of GLD (gold ETF) depending on whether gold and the S&P 500 closed up or down on the day, from November of 2004. The three sets [...]
Filed under: Follow-Through, Trading Strategies | 10 Comments
This is follow up, based on very smart reader feedback, to my previous post on Kestner’s buffered SMA trend-following strategy. Two things I’d like to cover: (1) reduced number of transactions, and (2) trading with weekly data. Reduced Number of Transactions My conclusion in my previous post was that this buffered concept didn’t significantly help [...]
Filed under: Trading Strategies | Leave a Comment
This strategy is another example of the importance of the right data, and not confusing the intricacies of indices with the intricacies of ETFs (or futures, or options, or anything else). The strategy comes from friend of the MarketSci Blog Russ: buy the S&P 500 and short the DJIA 30 at the open if the [...]
Filed under: Trading Strategies | 9 Comments
