Archive for July, 2010
Better Than An Equity Curve
Consider the example equity curve below from our recent test of the DVI Indicator (strategy in red, S&P 500 in grey). [logarithmically-scaled, growth of $10,000] I fear that when I show an equity curve like this the conclusion that folks come to is that prior to 2000 or so the strategy didn’t outperform buy and [...]
Filed under: Random Stuff | 9 Comments
In this series we’re analyzing the DVI (read part one and two), a contrarian intermediate-term indicator from CSS Analytics (click to calculate). In this post I want to look at how the DVI has performed going long and short in up versus downtrending markets and present a simple modified strategy that has solidly outperformed the [...]
Filed under: Trading Strategies | 1 Comment
In this series we’re analyzing CSS Analytics’ DVI Indicator (read part one). The DVI is an intermediate-term indicator that is contrarian (i.e. buying weakness) and usually best traded long-only. Click to calculate. In our first post I looked at how the market has responded when the indicator stood below its midpoint (50%). In this post I’ll [...]
Filed under: Trading Strategies | 3 Comments
August: An Underperformer?
This is a quick look at how the U.S. market has performed historically in August. First the (misleading) numbers… Looking at just these long-term averages, August hasn’t performed much different than the average month over the last 80 years. But averages are misleading because they say nothing about how consistent an observation has been or [...]
Filed under: Time-based | 3 Comments
This week’s series is on CSS Analytics’ DVI Indicator (read our first post). Up to this point the DVI has been a black-box indicator only available for a fee from CSS, but in honor of this series, David Varadi (the fellow geek behind CSS) has agreed to make the indicator public. Click for an Excel [...]
Filed under: Trading Strategies | 9 Comments
