Archive for the ‘Trading Strategies’ Category
This is a follow up to a strategy presented by STS in Profit by Combining RSI and VIX, and originally proposed by Larry Connors in Short Term Trading Strategies that Work. The strategy applies the popular short-term indicator RSI(2) to the VIX index and uses the result to time the S&P 500. [logarithmically-scaled, growth of […]
Filed under: Trading Strategies, VIX & Volatility | 3 Comments
Recall the graph below from my previous post extending the historical data for the ETFs SPLV (low vol) versus SPHB (high beta) back to 01/2007 (adding 4+ years of additional data prior to each ETF’s launch). SPLV and SPHB are on opposite ends of the large cap spectrum. SPLV tracks the 100 stocks from the […]
Filed under: Follow-Through, Trading Strategies | 17 Comments
In my previous post, I showed what I think is clear evidence that “sell in May” (i.e. trading the strongest contiguous 6 months of the year) is mostly bunk. In this post, using a simple walk-forward test to minimize hindsight bias, I’ll look at trading the strongest non-contiguous 6 months of the year (i.e. unlike […]
Filed under: Time-based, Trading Strategies | 9 Comments
“Sell in May” Debunked?
I originally posted this last year, and I don’t have anything to add. The conclusion is as true today as it was then, so I’m reposting as-is (note: charts only extend through 04/2012). Enjoy. — michael This time every year the “sell in May and go away” strategy rears its head again. It’s hard to […]
Filed under: Time-based, Trading Strategies | 10 Comments
Kaeppel’s Big vs Small Strategy
This is a follow up to Jay Kaeppel’s Big vs Small Strategy (h/t The Whole Street). We covered this one back in 2009, and while I think it’s too early to call this long-term strategy superior to conventional trend-following, the strategy has performed reasonably well (out of sample) since. [growth of $1, logarithmically-scaled, frictionless] The […]
Filed under: Trading Strategies | 7 Comments
