Quantitative analysis and strategies in the financial markets
The last trading day of the month offers trading opportunities. This is one of many seasonal trading strategies. Can we make a last trading day of the month trading strategy?
Continue readingThe first day of the month seasonality is strong in most markets. We have previously written about the turn of the month trading strategy, but today we look at the
Continue readingDoes trend following work in the S&P 500? We recently came across an article called Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: The Case
Continue readingTrend following the S&P 500 is probably not the sexiest thing to do. Back in 2012 Meb Faber published a paper called A Quantitative Approach To Tactical Asset Allocation in
Continue readingThis article presents an ETF rotation strategy. Sector rotation is popular and this is not without merit. The idea is to be in the sector that shows the best recent
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
Continue reading
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
Continue reading
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
Continue reading
The Russell 2000 rebalancing at the end of June is an important event. It’s important because it leads to potential imbalances, but more importantly, the Russell 2000 has shown abnormal
Continue reading
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
Continue reading
What happens after an extraordinary big fall in SPY? Let’s find out and test by using some simple variables. To measure a big fall we use the average difference between
Continue reading
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
Continue reading
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
Continue reading
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: By using the tailwind from the close until the next open, you can develop some good short-term trading strategies. In
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 readingTwo big down days in a row in SPY (S&P 500), with two days in a row with more than 1% each day. This does not happen very often. Knowing
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 readingIn day trading, what are the returns in the first hour, middle of the day, and in the last hour? I have lately broken down the trading day into performance
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 the 1st
Continue readingI decided to look more into opening gaps in SPY (S&P 500) to look for fade the gap strategies. After all, a lot of traders claim to make good money
Continue readingMean reversion strategies work well in the stock market. One of the best indicators for such strategies is the Internal Bar Strength Indicator (IBS): (HIGH-CLOSE)/(HIGH-LOW) This simple formula increases the odds
Continue readingSearching on the internet you can find a lot of articles on how to play the opening gap of the S&P 500. Gap trading strategies are popular. What is an
Continue reading
The 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
Continue readingDoji trading strategies are popular and the doji pattern is one of the most famous candlestick patterns. The pattern has several “derivatives” and can be used together with other bars.
Continue readingA well-known “fact” is the end-of-month rally in stocks at the end of the month and the first day(s) of the next month. It’s a lot about it on the
Continue reading
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
Continue reading