Moving Averages and REIT Indexes [PREMIUM]
Does timing based on simple moving averages (SMA) work for U.S. Real Estate Investment Trust (REIT) indexes? If so, which moving average is best? In his March 2012 paper entitled “The Market Timing Power of Moving Averages: Evidence from US REIT ...
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...
Pairs Trading and Market Turbulence [PREMIUM]
Are there market conditions most conducive to stock pairs trading? In their March 2012 paper entitled “Losing Sight of the Trees for the Forest? Pairs Trading and Attention Shifts”, Heiko Jacobs and Martin Weber assess how big-picture turb...
Pairs Trading and Market Turbulence [PREMIUM]
Are there market conditions most conducive to stock pairs trading? In their March 2012 paper entitled “Losing Sight of the Trees for the Forest? Pairs Trading and Attention Shifts”, Heiko Jacobs and Martin Weber assess how big-picture turb...
Predictable Long-run Stock Market Returns? [PREMIUM]
Are there predictable long-term cycles in U.S. stock market returns? In the March 2012 update of his paper entitled “Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook”, Valeriy Zakamuline investigates mean reversion of...
Moving Averages Tested on Various U.S. Stock Sorts [PREMIUM]
Are simple moving average (SMA) rules pervasively effective in boosting risk-adjusted stock portfolio performance? In his March 2012 paper entitled “Market Timing with Moving Averages”, Paskalis Glabadanidis tests SMA rules for entering an...
Frenetic Trading [PREMIUM]
How fast must traders move to operate efficiently in the high-frequency arena? In their February 2012 paper entitled “High-Frequency Technical Trading: The Importance of Speed”, Martin Scholtus and Dick van Dijk investigate execution spee...
Enhancing Dollar Cost Averaging? [PREMIUM]
Dollar cost averaging (DCA) is a very simple and intuitive way to buy more (less) of an asset when its price is low (high), thereby achieving some cost efficiency. Is there a simple and reliable way to enhance DCA? In their December 2011 paper entitled...
SMAs for Measurement Intervals of Longer Than a Month
Referring to “10-month Versus 40-week Versus 200-day SMA”, a reader inquired whether using measurement intervals of longer than a month to calculate simple moving averages (SMA) would generate fewer trades than monthly intervals and therefo...
Combining Realized Volatility and Simple Moving Averages [PREMIUM]
...evidence indicates that focusing simple moving average trading rules on stocks with relatively high past-year volatility may be profitable. However, potential optimism in assumptions about trade timing and trading frictions for high-volatility stock...
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 ...
