Quantitative analysis and strategies in the financial markets
This article looks at the performance of the S&P 500 on the last trading day of the month. It seems to be a “last trading day of the month effect”,
Continue readingWe have previously written about the turn of the month effect: The turn of the month trading strategy (end of month effect) The turn of the month includes both the
Continue readingWe recently came across an article called Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: The Case of the S&P 500. It’s written by academics,
Continue readingBack in 2012 Meb Faber published a paper called A Quantitative Approach To Tactical Asset Allocation in the Journal of Wealth Management. Meb Faber found the 200-day moving average useful
Continue readingSector rotation is popular and this is not without merit. The idea is to be in the sector that shows the best recent momentum. Today we present an ETF momentum
Continue readingBelow is a simple and easy trading strategy to implement in SPY or the S&P 500: The classical mean reversion strategy in the S&P 500 In plain English the strategy
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Below is a potential short strategy in the S&P 500: Short= C>Ref(C,-1) AND Ref(C,-1)>Ref(C,-2) AND Ref(C,-2)>Ref(C,-3) AND ADX(5)>35 AND RSI(2)>90 Description: If the close is higher for the third time
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By looking at some potential strategies for S&P 500 I found some very interesting facts that I wouldn’t guess beforehand. I used the ETF SPY as a proxy for the
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The Russell 2000 rebalancing at the end of June is an important event. It’s important because iut leads to potential imbalances, but more importantly, the Russell 2000 has shown abnormal
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Sell in May – myth or fact? Sell in May and go away must be one of the most famous phrases in the stock market. But is this adage a
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What happens after an “extraordinary” big fall in SPY? Calculate the average H-L range over the last 25 days (in percent). If the ETF falls more than 2 times this
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This article presents an overnight trading strategy in the S&P 500. Overnight means entering at the close and exit at tomorrow’s open. We exit at the next open no matter
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Mean reversion has worked pretty well for the main stock indices for some decades. Today we look at a mean reversion trading strategy that goes long at the close when
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Some 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 readingThe overnight edge in the stock market is well documented: Night strategies trading (overnight edges/strategies) By using the tailwind from the close until the next open, you can develop some
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 (S&P 500), with two days in a row with more than 1% each day. This does
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 readingDo you know the average return in the S&P 500 separated into trading days and day of the week? In this article, we look at the average gain per trading
Continue readingI have lately broken down the trading day into performance during the first hour, the middle of the day, and the last hour. Previously I have written two articles about
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 readingIn a previous article, I wrote about when SPY sets a high/low. But is there any difference separated by weekday? Here is the number from January 2010 until 1st of
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 readingSearching on the internet you can find a lot of articles on how to play the opening gap of the S&P 500. What is an opening gap? A gap is
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VIX is a popular measure of the implied volatility of S&P 500 index options. Put shortly, thew VIX is a mean reversion indicator: when the risk premium increases (VIX
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 in stocks at the end of the month and the first day of the next month. It’s a lot about it on the web,
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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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