A Monthly Momentum Strategy In ETFs
Below is a very simple and easy strategy to implement: It’s based on monthly quotes in the ETFs SPY, EEM, and TLT. Every month rank them based on last month’s
Continue readingQuantitative analysis and strategies in the financial markets
Below is a very simple and easy strategy to implement: It’s based on monthly quotes in the ETFs SPY, EEM, and TLT. Every month rank them based on last month’s
Continue readingBelow is a simple and easy trading strategy to implement in SPY or the S&P 500: IBS (internal bar strength) must be lower than 0.25 (using daily bars). RSI (21)
Continue readingBelow 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
Continue readingBy 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
Continue readingRussell 2000 rebalances their holdings at the end of June every year. Here is what they say about rebalancing: June is the month that the preliminary reconstitution portfolio is communicated
Continue readingSell in May and go away must be one of the most famous phrases in the stock market. But is it correct? This is the first time I test this.
Continue readingWhat 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
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 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 readingBelow you can find a bar showing the average return per trading day in the S&P 500 since 1970, excluding dividends. Day 1 is simply the first trading day, not
Continue readingToday is the 1st of November and the start of a new month. I’m just trying to grab some stats on how the first trading day of the month has
Continue readingYesterday was a rather frustrating trading day. I ended up net long in my new daytrading strategy in which I have recently increased size. After 1,5 hour of trading, and
Continue readingBeing a day trader is a struggle, so I have lately broken down the trading day into performance during the first hour, the middle of the day and the last
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. Today I did my personal twist on this
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 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 readingAre 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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