Archive for August, 2011
TAA Model for September, 2011
This is a monthly feature at the MarketSci Blog. Our Tactical Asset Allocation (TAA) model selects up to four assets from a diversified basket of asset classes on the final trading day of each month. Below is the new allocation for today’s close. Click to read more about the TAA model. I eat my own cooking, so I’ve devoted a healthy share of [...]
Filed under: Tactical Asset Allocation | 8 Comments
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. Note: on the first map posted, I didn’t account for the FRB announcement moving to 09/21. My apologies. The map below has been revised [...]
Filed under: Monthly Seasonality Map | 2 Comments
September Weakness
The end of August is nigh. This is a quick look at how the U.S. market has performed historically in September. First, the numbers… From this 30,000 foot view, September has significantly underperformed 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 | 3 Comments
Backtesting in Excel
Readers know that I use Excel to produce a lot of the simple backtests and graphics on this blog. I get a ton of email about how I do that, so rather than continuing to help readers piecemeal, I want to provide a simple Excel template that readers can then expand upon in their own [...]
Filed under: Random Stuff | 21 Comments
Last Week’s Death Cross
I’m a bit late in writing this (apologies), but Thursday of last week the S&P 500 made a “Death Cross”. This ominous-sounding event occurs when the 50-day moving average crosses under the 200-day, and to some technicians it signals the start of a long-term bearish bias. I’d like to call readers’ attention to my previous [...]
Filed under: Trading Strategies, Trend-Following | 5 Comments
