Quant Mashup

• My new book on Algorithmic Trading is out [EP Chan]A reader (Hat tip: Ken) told me that my new book
  - 10 hours ago, 25 May 13, 5:58am -
• US market portrait 2013 week 21 [Portfolio Probe]US large cap market returns. Previous posts had the charts off by a day, and no one had the grace to say. The halving of DF is technically correct, but financially misleading.  There was a spin-off where the ot...
  - 10 hours ago, 25 May 13, 5:35am -
• New Book: Quant Job Interview Questions and Answers [Amazon.com]The quant job market has never been tougher. Extensive preparation is essential. Expanding on the successful first edition, this second edition has been updated to reflect the latest questions asked. It now pro...
  - 18 hours ago, 24 May 13, 9:49pm -
• Hewlett-Packard Company–Cheap as Dirt; May 24, 2013 [Empiritrage]Full Report Hewlett-Packard Company (HPQ) announced this past Wednesday that fiscal Q2 earnings slipped, although shares jumped after hours on news of an upward current-quarter guidance revision. HPQ has a prob...
  - 1 day ago, 24 May 13, 1:51pm -
• Genetic Algorithms and its Application in Trading [Equametrics]Introduction Genetic Algorithms may seem to be a fancy buzz word only belongs to experienced programmers or quantitative researchers. While it appears to be complicated for general traders at the first glanc...
  - 1 day ago, 24 May 13, 11:55am -
• Setting stops the Bayesian way [Futures Mag]Stop loss levels are essential when you trade with leverage. Nonetheless, most traders put far more time into forecasting where prices will go and what type and size of position to take than determining stop le...
  - 1 day ago, 24 May 13, 11:51am -
• $SPX Returns Around Memorial Day Since 1990 [Paststat]Below the returns for holding onto #SPX ( S&P 500 Index) one trading prior to the Memorial Day since 1990 ( calculated with the full day change% of #SPX returns ) Winners : 11 Losers : 12 % Winners : 48% Av...
  - 1 day ago, 24 May 13, 11:51am -
• SPY Closes At A 5-Day Low For The 1st Time In A Long Time [Quantifiable Edges]On Tuesday the SPY closed at a 5-day low for the 1st time in over 4 weeks.  This triggered the study below, which I last showed on the blog in December.
  - 1 day ago, 24 May 13, 8:19am -
• How to pick post-stock-split winners [Mark Hulbert]There has been a long debate about whether or not buying a stock after a split is a good idea. Research shows that it probably is, but it’s not as easy as simply waiting for a stock to do so, and then purchasin...
  - 1 day ago, 24 May 13, 4:01am -
• Calculating VIX—the Easy Part [Six Figure Investing]The movements of the CBOE’s VIX® are often confusing. It usually moves the opposite direction of the S&P 500 but not always. On Fridays the VIX tends to sag and on Mondays it often climbs because S&...
  - 2 days ago, 24 May 13, 2:43am -
• New Book: Algorithmic Trading: Winning Strategies and Their Rationale (EP Chan) [Amazon.com]In his well-received first book Quantitative Trading, Dr. Ernest Chan addressed the essential techniques an algorithmic trader needs to succeed at this demanding endeavor. While some useful example strategies w...
  - 2 days ago, 24 May 13, 2:43am -
• Fidelity Sector Funds Rankings Displaying Odd Mix [Woodshedder]I’m not sure what to make of the top 5 ranked funds. While utilities have dropped out, the rankings are still somewhat defensive, favoring healthcare, pharma, and consumers. FSPHX (Health Care) FDFAX (Consumer...
  - 2 days ago, 24 May 13, 12:06am -
• Fading $SPY Gap Down Open After 2x Average Monthly Volume Sell-off Trading System [Paststat]Another reason and another trading strategy signalling to be bullish on that pullback/ gap down open of $SPY here are the trading system rules we employed $SPY falls at-least by 0.5% previous trading day Previo...
  - 2 days ago, 24 May 13, 12:06am -
• New Book: S&P 500 Trading with ConnorsRSI [Amazon.com]S&P 500 Trading Strategy w/ConnorsRSI Here's How You Can Swing-Trade for Short-term Gains AND Stay In Your Comfort Zone -- with S&P 500 Stocks Professional money managers have long bought quality stocks...
  - 3 days ago, 23 May 13, 3:25am -
• $SPY forms back to back Outside Days , next what? [Paststat]Here are the trading system rules we employed $SPY ( SPDR S&P 500 ETF) forms Outside day ( a higher high and lower low ) for two trading days in row go long at Close & exit at close tomorrow below the b...
  - 3 days ago, 23 May 13, 3:25am -
• XJO Closes below Support Level 3 during long term uptrend and short term down trend bullish or bearish? [Asxiq]With XJO ( ASX 200 index ) closing below Support Level 3 and with the XJO above it’s 200-DMA while below it’s 20 DMA , this pattern suggests a bounce for tomorrow Trading strategy rules we employed XJO closed b...
  - 3 days ago, 23 May 13, 3:22am -
• Low beta anomaly: long history and recessions [RRSP Strategy]I am researching whether low beta investing has benefited from recent conditions, such as the interest rate bear market since 1982 which could favor higher yielding equities such as utilities found in low beta...
  - 3 days ago, 23 May 13, 1:23am -
• Memorial Day Generally Bullish for $SPX $SPY $ES_F [Stock Trader's Almanac]In the Stock Trader’s Almanac we show how the days after Memorial Day have been rather bullish. In the table below I went back to 1971, the year the Uniform Monday Holiday Act took effect, moving Memorial Day a...
  - 3 days ago, 22 May 13, 11:10pm -
• Trading Outside Day Price Pattern on $SPY [Paststat]Caveat : The daily price bar doesn’t tell whether the intra-day low or intra-day high is hit first, as on yesterday ( 21st May 2013) the intra-day low is hit first and later the intra-day high. but anyway it is...
  - 3 days ago, 22 May 13, 8:45am -
• What To Do About REITs? [Mebane Faber]REITs have been the best performing major asset class since the market bottom in 2009, up over 200%. What are the current drivers of REITs saying now across trend, yield curve, and valuation? -Trend is certainl...
  - 4 days ago, 22 May 13, 12:42am -
• Shareholder Yield Strategy [Scott's Investments]Cambria Investment Management and Mebane Faber recently announced the Cambria Shareholder Yield ETF (SYLD). Faber outlines the Shareholder Yield strategy in his Shareholder Yield: A Better Approach to Dividend...
  - 4 days ago, 22 May 13, 12:42am -
• 3 things not to worry about right now [Mark Hulbert]Investors are needlessly fretting about several issues right now that have nothing to do with whether the bull market will continue....
  - 4 days ago, 21 May 13, 9:31pm -
• New Highs 2 Days Post Op-Ex [Overnight Edges]Yesterday I looked at what happens when ES closes at a short-term high on the day after options expiration. Today let’s take a look at what happens when there is a short-term high 2 days after. (Unless there is...
  - 4 days ago, 21 May 13, 6:38pm -
• New Book: Keeping Up with the Quants: Your Guide to Understanding and Using Analytics [Amazon.com]Welcome to the age of data. No matter your interests (sports, movies, politics), your industry (finance, marketing, technology, manufacturing), or the type of organization you work for (big company, nonprofit,...
  - 4 days ago, 21 May 13, 12:39pm -
• Stock Returns Around Memorial Day [CXO Advisory]Does the Memorial Day holiday signal any unusual return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. c...
  - 4 days ago, 21 May 13, 12:00pm -
• Research Review | 5.21.13 | Risk Management & Asset Allocation [Capital Spectator]Research Review | 5.21.13 | Risk Management & Asset Allocation Advances in Portfolio Risk Control: Risk! Parity? Winfried G. Hallerbach (Robeco) | May 1, 2013 Spurred by the increased interest in applying “...
  - 4 days ago, 21 May 13, 9:53am -
• S&P 500 ($SPX) 13 Consecutive Higher Lows, Bullish or Bearish? [Paststat]This pattern of $SPX making 10 or more consecutive higher lows ( interleaving instances ) suggest some more up-leg to the current rally, with 21/23 winners and with a pay off ratio ( avg win% / avg loss%) of mo...
  - 4 days ago, 21 May 13, 9:52am -
• Is there a mean reversion anomaly? [RRSP Strategy]There has been a fair amount of online discussion regarding mean reversion, typically focussed on the S&P500 or SPY ETF. Michael Stokes shows that short term mean reversion is a recent phenomena and may act...
  - 5 days ago, 21 May 13, 2:32am -
• S&P 500: 12 Consecutive Closes Above the Upper Bollinger Band. Bullish or Bearish? [Woodshedder]We are entering historic territory with the S&P 500 closing for the 12th consecutive day above its upper Bollinger Band (50,2). This has only happened 25 times since 1928. When the market reaches historic e...
  - 5 days ago, 20 May 13, 11:42pm -
• Betting on a Summer Rally [Mark Hulbert]Just hold on until this weekend, you worrywarts. Memorial Day marks the official beginning of summer, when the much-vaunted Summer Rally will keep this powerful bull market going....
  - 5 days ago, 20 May 13, 9:31pm -
• New Book: Smarter Trading: Improving Performance in Changing Markets [Amazon.com]As a direct result of economic globalization and computerized trading, today's professional stock, bond, and futures traders face a career-making - or breaking - challenge: to track and immediately comprehend t...
  - 5 days ago, 20 May 13, 7:03pm -
• The Sell In May(be) Strategy [Jay Kaeppel]Hey just what you need right? One more article on the “Sell in May and Go Away” phenomenon. And boy do we live in a polarized world these days or what? Most of the approximately 2,376 “Sell in May” related arti...
  - 5 days ago, 20 May 13, 6:31pm -
• R/Finance 2013 slides [Systematic Investor]I have just returned from the R/Finance conference and want to share with you my slides and examples. The Cluster Risk Parity portfolio allocation method is an example of Cluster Portfolio Allocation methods th...
  - 5 days ago, 20 May 13, 1:35pm -
• High Closes Just After Options Expiration [Overnight Edges]We already know that overnight ES performance following a new high on a Monday has been weak when you are looking at a long-term high. But when that Monday directly follows opex Friday, then even a short-term h...
  - 5 days ago, 20 May 13, 11:26am -
• Golden Cross – Which is the best? [System Trader Success]The Golden Cross typically referrers to the crossing of the 50 and 200 Day Simple Moving Averages. When the shorter term average moves above the longer term average this is seen by many as the beginning of a su...
  - 5 days ago, 20 May 13, 9:17am -
• Are Market Valuations too High? [Turnkey Analyst]There is a lot of chatter regarding market valuations. Many commentators are very confident that market is overpriced. Overconfidence can be dangerous. In the words of Twain: It’s not what you don’t know that k...
  - 5 days ago, 20 May 13, 9:16am -
• High Volume Rise on Op-Ex Day - Good or Bad for $SPY? [Paststat]This modified pattern of $SPY (SPDR S&P 500 ETF) from Quantifiable Edges High Vol Rise on Op-ex Day – Good or Bad? suggest bit bearishness for the next trading session here are the trading system rules we e...
  - 5 days ago, 20 May 13, 9:15am -
• The pressure on investors [UK Stock Market Almanac]It has long been thought that there is some connection between the weather and stock returns. That when the sun shines, investors feel happy, they take on more risk and prices rise; and when the weather is gloo...
  - 5 days ago, 20 May 13, 9:14am -
• This 3-Day Pattern Is Suggesting Caution For Today [Quantifiable Edges]After Wednesday’s move to a new high, Thursday put in an inside day.  With Friday closing at another new high the study below triggered, which I have only previously shared
  - 5 days ago, 20 May 13, 7:46am -
• Implied alpha and minimum variance [Portfolio Probe]Under the covers of strange bedfellows. Previously The idea of implied alpha was introduced in “Implied alpha — almost wordless”. In a comment to that post Jeff noticed that the optimal portfo...
  - 5 days ago, 20 May 13, 5:19am -
• Concepts In Technical Analysis [System Trader Success]Here is a free PDF download of basic technical analysis concepts provided by Merrill Lynch. No signups. No opt-in. Just a free download....
  - 6 days ago, 19 May 13, 11:56pm -
• [Academic Paper] Asymmetric Correlations in Financial Markets [@Quantivity]Asymmetric Correlations in Financial Markets
  - 6 days ago, 19 May 13, 6:27pm -
• [Academic Paper] Time Series and Cross-Sectional Properties of Equity Market Liquidity with Applications to Financial Crisis [@Quantivity]Time Series and Cross-Sectional Properties of Equity Market Liquidity with Applications to Financial Crisis
  - 6 days ago, 19 May 13, 6:24pm -
• Sector Rotation and Dual Momentum [Optimal Momentum]Sector rotation is one of the more popular applications of momentum. The follo...
  - 7 days ago, 18 May 13, 3:03pm -
• US market portrait 2013 week 20 [Portfolio Probe]US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initia...
  - 7 days ago, 18 May 13, 6:05am -
• Complexity ==> Confusion and Dysfunction [Turnkey Analyst]A heartwarming paragraph from a paper I’m reading: Miller (1956) argued that there are definite limitations on the number of conceptual units that humans can handle at any one time. As the complexity of the inf...
  - 8 days ago, 17 May 13, 10:15am -
• $SPY $SPX $VIX Returns on Option Expiry Days Month Wise [Paststat]for $SPY since 1993 , May Option Expiry days are profitable 45% (9/20) of the times average returns are -0.17% (against any month options expiry returns which are -0.08%) average win% if $SPY goes up on May opt...
  - 8 days ago, 17 May 13, 8:45am -
• Is it time to buy Facebook? [Mark Hulbert]It will be difficult for the social network to combat valuation worries, writes Mark Hulbert....
  - 8 days ago, 17 May 13, 4:32am -
• $SPY Closes More than 3.5% Above the 20 Day Average. Bullish or Bearish? [Woodshedder]On Wednesday, May 15th, $SPY closed 3.52% above its 20 day moving average. While this has happened more than 275 times over the history of $SPY, it is not an altogether common occurrence. It is the first time t...
  - 9 days ago, 16 May 13, 11:30pm -
• How Thursday Nights At New Highs Act Different [Overnight Edges]Last week I showed that new highs on Mondays often lead to a down gap the next day. In fact, Monday is not the only day that suggests a downside edge. While it is perhaps the day that exhibits this tendency the...
  - 9 days ago, 16 May 13, 8:54pm -