Archive for September, 2010
I’m going to be starting a new monthly feature here on the blog tracking the real-time performance of a monthly tactical asset allocation model (similar in spirit to Mebane Faber’s excellent work). I’m not ready to share details just yet (I’m still tinkering), but I wanted to get my “trades” in for the upcoming month [...]
Filed under: Tactical Asset Allocation | 13 Comments
I’m going to do a series of posts (inspired by Woodshedder) on stock market performance in the daytime (open-to-close) vs overnight (close-to-open) sessions. As we’ve shown previously, the overnight and daytime markets are very different animals, and understanding that difference is of uber-importance to active traders. Since at least 1993, bull markets have tended to play out overnight [...]
Filed under: Stock Market Mechanics | 23 Comments
October: (Mostly) Normal
This is a quick look at how the U.S. market has performed historically in October. First the numbers … From this 30,000 foot view, October hasn’t fared any better or worse than the average month over the last 80 years. But averages can be misleading because they say nothing about how consistent an observation has [...]
Filed under: Time-based | 1 Comment
This is a monthly feature at the MarketSci Blog. Below is a map of potentially strong/weak days for the US stock market in October 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 time with winning [...]
Filed under: Monthly Seasonality Map | 1 Comment
RE: The Power of Momentum
This is a follow up to (what appears on the surface to be) a simple, effective strategy for trading the U.S. stock market from the Bank of England’s Andrew Haldane, later covered by super-bloggers Felix Salmon and EconomPic. [growth of $1, logarithmically-scaled] The graph above is taken directly from Haldane’s paper and shows the result [...]
Filed under: Random Stuff | 31 Comments
