Big Moves On Mondays
I caught some ideas from Paststat and Quantifiable edges to test “big” movement on Mondays. I have tested this in a previous post, but this time we’ll look at what
Continue readingQuantitative analysis and strategies in the financial markets
I caught some ideas from Paststat and Quantifiable edges to test “big” movement on Mondays. I have tested this in a previous post, but this time we’ll look at what
Continue readingA while back I wrote about a day trading strategy in SPY. This one works pretty well on XLP as well, with some modifications: Calculate a 25 day average of
Continue readingIn November 2012 I summarized some strategies when holding from the close until tomorrow’s open. These strategies have worked well since I published it. Today I have another one. It’s
Continue readingHere is a simple strategy in SPY: Calculate the absolute value of the % change from today’s close from yesterday’s close (c2c). Calculate a 25 day average of number 1.
Continue readingSome weeks ago I wrote about a potential daytrading strategy in XLP. This is a similar test done in SPY: Yesterday the formula (c-l)/(h-l) must have been lower than 0.1.
Continue readingS&P 500 has historically a strong tendency to revert to the mean. I’m looking to find a way to fade the gap. My research has indicated that fading the gap
Continue readingThis Sunday morning I was just testing some ideas on these different ETFs: SPY, EEM, EWG, EWU and EWJ. They seek to copy the performance of the most important stock
Continue readingHmm, that was a long headline, which probably won’t catch many readers. Anyway, here is the strategy based on the ticker XLP: Yesterday must have been a down day of
Continue readingJay Kaeppel wrote last week an interesting post about gold stocks: The greatest gold stock system you’ll probably never use. I have a twist to this system which I’ve been
Continue readingThe price of oil is seen as a hedge against a falling dollar. If the dollar falls, the oil price should rise (or vice versa). What happens the next day
Continue readingPreviously I have only day traded stocks and traded SPY/ES. Over the last couple of months, I have also had a look at GLD, and I’ve been trading this ETF.
Continue readingBelow you can find the gain each year from 1997 until 2011 in OBX. It’s divided into two: The whole of December and the 2nd half of December. The 2nd
Continue readingThis 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
Continue readingI 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
Continue readingThis 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
Continue readingVIX 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
Continue readingI 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
Continue readingOver 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
Continue readingA 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
Continue readingPreviously 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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