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...
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...
Combining Return Reversal and Industry Momentum [PREMIUM]
Does a strategy of combining monthly individual stock return reversal with monthly industry momentum enhance results compared to the separate strategies. In their August 2011 paper entitled “One-month Individual Stock Return Reversals and Industr...
Effects and Prediction of Extreme Returns [PREMIUM]
Are financial market returns from extreme outlier days mostly good or bad for investors? Is the occurrence of such days usefully predictable? In his August 2011 paper entitled “Where the Black Swans Hide & The 10 Best Days Myth”, Meba...
Purified Short-term Stock Reversal [PREMIUM]
As described in “Monthly Stock Return Reversal Update”, evidence for a conventional monthly stock return reversal effect since 1990 is weak. Is there a way to enhance the effect? In their August 2011 paper entitled “Short-Term Residu...
