Intrinsic Momentum or SMA for Avoiding Crashes? [PREMIUM]
A subscriber suggested comparing intrinsic momentum to simple moving average (SMA) as alternative signals for equity market entry and exit. To investigate, we compare the long run performances of entry and exit signals from intrinsic momentum over comm...
Bonds Lead Stocks?
A reader observed and inquired: “I frequently see a certain cliche in trading blogs…that, when the bond markets and the equity markets disagree, trust the bond markets. Do you know of any evidence for this? The article ‘What Leads to ...
Improving Moving Average Rules? [PREMIUM]
Is there a reliable way to improve the performance of conventional moving average signals? In the October 2011 and November 2011 versions of their papers entitled “An Improved Moving Average Technical Trading Rule” and “An Improved ...
Is There a Best SMA Calculation Interval for Long-term Crossing Signals? [PREMIUM]
...evidence from simple tests does not support a belief that there is a best SMA calculation interval for generating crossing signals to exploit long-term stock market trends.
Simple Tests of an Asymmetric SMA Strategy [PREMIUM]
A reader asked: “Should the moving average crossover threshold be symmetrical, or does it make sense to try getting back in close to the bottom?” In other words, should we perhaps use a 200-day simple moving average (SMA) to stick with the ...
Annual Stock Market Streaks
A subscriber asked: “Is there value in buying any market after it has had three straight down years?” As a limited test on a market with a reasonably long history, we consider both down and up annual streaks for the Dow Jones Industrial Ave...
Refined Short-term Reversal Strategies [PREMIUM]
Does short-term (one-month) stock return reversal persist? If so, is there a best way to refine and exploit it? In the September 2011 version of their paper entitled “Decomposing the Short-term Return Reversal”, Zhi Da, Qianqiu Liu and Erns...
Use VIX Technical Signals to Trade Stock Indexes? [PREMIUM]
Can the forward-looking aspect of the S&P 500 Volatility Index (VIX) amplify technical analysis? In their September 2011 paper entitled “Using VIX Data to Enhance Technical Trading Signals”, James Kozyra and Camillo Lento apply nine ...
First and Last Hours of Trading [PREMIUM]
Do U.S. stock market returns during the first and last hours of normal trading days reliably indicate what comes next? To investigate, we analyze average SPDR S&P 500 (SPY) returns during 9:30-10:30, 9:30-15:00, 9:30-16:00 and 15:00-16:00 for norm...
A Slinky (Short-term Reversion) Effect?
Do often frenzied investors/traders tend to overdo buying and selling, coming to their senses shortly thereafter? In other words, does the broad U.S. stock market tend to revert after short-term moves up or down? To check, we relate sequential past a...
Simple Tests of Sy Harding’s Seasonal Timing Strategy
Several readers have inquired about the performance of Sy Harding’s Street Smart Report Online, which includes the Seasonal Timing Strategy. This strategy combines “the market’s best average calendar entry [October 16] and exit [April...
SweetSpot: Market-beating Reversion of Unloved Niches?
A reader suggested reviewing the detailed track record of SweetSpot Investments LLC, consisting of 29 closed trades over the past 12 years. The basic SweetSpot strategy posits market-beating three-year reversion of the three least popular “sect...
