Archive for January, 2010
I break from conventional wisdom on the subject of the “size effect”, or the tendency for small-cap stocks to outperform large caps over the long-term. Some negligible small cap hoodoo might exist, but it pales in comparison to what really drives this Wall Street mantra: a “volatility (beta) effect”. Proponents of the size effect might [...]
Filed under: Stock Market Mechanics | 21 Comments
Heads up, I’ve added my modified version of CSS Analytics’ Perfect Alignment Theory to the Addendum to the State of the Market report. Go there to get free daily strategy updates. Something I didn’t snap to in my original test is how frequently the strategy trades: 20+ times per year (note: that’s any signal change, not round-trips). [...]
Filed under: State of the Market Report | 1 Comment
January Indicator for 2010
Barring a miracle run today, the market will close down for the month. Over the last 80 years, when January finished in the red there has consistently been about an even-steven chance of the remainder of the year finishing either up or down (read more). Doesn’t mean a whole lot to us short-term traders, but it’s a [...]
Filed under: Time-based | 3 Comments
By request, we’ve created a special Twitter Feed to notify readers when the free State of the Market report is updated each day. CLICK TO JOIN SOTM TWITTER FEED I gave up on tweeting a while back, but this feed is automated and just for the SOTM report, so I promise I won’t give up on [...]
Filed under: State of the Market Report | 1 Comment
This is a different spin on CSS Analytics’ Perfect Alignment theory. As we saw in our previous test, criterion #1 was the more predictive of the two (252-day relative performance of the S&P 500 vs Russell 2000, AKA the Generals Lead the Troops). But criterion #2 has had an additional benefit we haven’t shown yet: [...]
Filed under: Trading Strategies | 14 Comments
