Archive for August, 2010
This is a monthly feature at the MarketSci Blog. Below is a map of potentially strong/weak days for the US stock market in September based on historical seasonality patterns. Read more after the image. Scorecard: since launching in April, the monthly seasonality map has called the closing direction of the S&P 500 correct 49% of the [...]
Filed under: Monthly Seasonality Map | 4 Comments
Ugly September
This is a quick look at how the U.S. market has performed historically in September. First the (somewhat misleading) numbers… Based on these long-term averages September has been ugly, underperforming the average month across all metrics by a hefty margin. But averages are misleading because they say nothing about how consistent an observation has been [...]
Filed under: Time-based | 2 Comments
Off the Grid
Illness in the family and I’ll be off the grid for a while. Business and the State of the Market march on as usual. If you’re looking for a fix of stock market geekery while I’m gone, catch up on my list of favorite past MarketSci Blog posts. Happy Trading, ms . . . . . To [...]
Filed under: Random Stuff | 2 Comments
I’ll take a month of real-time trading over a 10-year backtest any day of the week. That may be a surprise coming from someone whose blog almost wholly consists of backtests, but at the end of the day I know (and so should you) that NONE of this really matters. The only thing that matters is [...]
Filed under: Random Stuff | 18 Comments
Roundup: DVI Indicator
This is a roundup of our recent posts analyzing the DVI Indicator, a contrarian intermediate-term indicator from CSS Analytics (click to calculate). >> Basic Long-Only Strategy Test of a simple strategy that goes long when the DVI is below the midpoint (50%) that has outperformed the market in terms of risk-adjusted returns and drawdowns. >> [...]
Filed under: Trading Strategies | Leave a Comment
