Archive for the ‘Trading Strategies’ Category

Back in 2012, I penned a friendly debunking of’s RSI(2) mean-reversion strategy for trading the volatility ETN XIV. The thrust of the post was that TM only tested the strategy back to the launch of XIV, which led them to write “they had never seen numbers like this in equity trading”, but had they […]

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 […]

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 […]

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 […]

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 […]