Quantitative analysis and strategies in the financial markets
This post has some simple suggestions on potential strategies from the close until tomorrow’s open in SPY (the test period is from October 2005 until the present). This post is
Continue readingDuring my early days as an investor/trader in the early 90’s, I was told (in many books) that an up day that finishes near the low of the range is
Continue readingOn Thursday we had the second “big” down day in a row in SPY, with two days in a row with more than 1% each day. This does not happen
Continue readingToday SPY opened down about 0.8%. From then it has fallen even more, and in time of writing is down 1.5% since the open. A quite tough day for the
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I had a look at my performance on one of the new strategies I’ve implemented over the summer and fall. Here are the previous first two posts I wrote: Part
Continue readingHere is the hypothesis: if SPY rallies from the open and until the last hour, can we make money by going long one hour before the close and exit on
Continue readingYesterday (on the 23rd) SPY closed below the previous day’s 5 day low. Even more, SPY gapped down and never traded over the previous day’s low. Some days back I
Continue readingI’m testing a lot of mean reversion strategies to find the most suitable one. Here is another twist: IBS must be lower than 0.25. The close must be lower than
Continue readingI have previously written two articles about when SPY sets high and low during the day: At what time of day sets SPY high and low? Intraday high and low
Continue readingI decided to look more into opening gaps in SPY (S&P 500). After all, a lot of traders claim to make good money on this strategy, at least according to
Continue readingOne of my favorite “formulas” to look at in mean reverting instruments is this formula: (HIGH-CLOSE)/(HIGH-LOW) The formula is called The Internal Bar Strength Indicator (IBS). This simple formula increases
Continue readingThis research paper had an interesting look into gaps down in stocks (www.mta.org/eweb/docs/pdfs/2011-dowaward.pdf, thanks to Richard for making me aware of this report). I recommend reading it. I have no
Continue readingThe opening gap strategy I published last week showed promising returns. However, can we trust the data? The test was performed on EOD data from Yahoo! (open, high, low and
Continue readingSearching on the internet you can find a lot of articles on how to play the opening gap of the S&P 500. Today I did my personal twist on this
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This morning I had a look at when SPY makes high and low during the trading day (regular market hours from 0930 to 1600). I had no particular plan behind
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VIX is a popular measure of the implied volatility of S&P 500 index options. You can read about the VIX using the link but put shortly this is a
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I guess most traders have heard that “the trend is your friend”. Personally, I close to never trade on trends, I go the opposite way: buy weakness and sell strength.
Continue readingSome days ago I wrote about a new day trading strategy I have implemented. This morning I had a second look at it and decided to test it using some
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Over the last several months I have been looking into a new potential day trading strategy. This one looks into more illiquid stocks and therefore I won’t reveal the strategy:
Continue readingMy young friend in Prague put up an interesting chart the other day: QQQ and the doji pattern: A doji is classified as a “reversal” pattern, but that doesn’t mean
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A well known “fact” is the rally at the end of the month and the first day of every month. It’s a lot about it on the web, but as
Continue readingSome days back I wrote about daily seasonality in the S&P 500. As a proxy, I use SPY, an ETF. As I have been trading for some years I have
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Previously there has been a certain day-of-week seasonality in the S&P 500. Here is a summary of the average gain since 1. January 2010 until the 1st of July based
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Are there any daily seasonalities in the S&P 500? I did some research into SPY, an ETF based on the S&P 500 components and a very good proxy, based average
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In the long run, one can expect to be rewarded for taking risks. Let’s test a very simple strategy with this in mind. If SPY (which is an ETF of
Continue readingI’m trading some strategies based on mean reversion on a sample of 77 ETFs. Those ETFs are the most liquid ones. One of the strategies I trade is based on
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I did some counting yesterday. Not because I was trying to get some sleep, but rather trying to find some trading strategies. I looked at SPY, the ETF tracking the
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I have been investing and trading for about 16 years, but not until now have I had a look at pivot points (PP). We can read a lot about this
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