S&P 500 (SPX)
The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it):
Trading performance if exit after N-days (100 000 and compounding):
Few observations, but it indicates a strong upward bias.
Instrument/asset S&P 500 (SPY) Trading rules The trading rules of the edge read like this (please also backtest yourself – you might find a way to improve it): Buy at the close the day before the monthly job report; and The close must be below the 200-day moving average. Results Trading performance if we exit…
Consumer confidence Index tries to gauge the temperature of the economy. It swings from pessimism to optimism – just like Mr. Market who is rather manic-depressive. In the US it’s made by the Conference board and it casts doom and gloom on a monthly basis. The University of Michigan Consumer confidence index measures optimism (or…
The coming week is the OPEX week of October. We are entering a historically strong seasonal tendency in the stock market (from OCT to APR), and it might be interesting to find out how stocks have performed this particular week in October. Trading Rules [am4show have=’p2;p3;p58;p59;p130;p138;’ user_error=’Premium Post Access’ guest_error=’Premium Posts’] Let’s backtest by being…
Calendar effects are pretty well known in the stock market, but it’s not many articles out there about calendar effects in long-term Treasuries (TLT). TLT seasonal trading strategies are hard to come by on the internet, but below you get some ideas where to go. In this article, we look at some specific calendar effects…
How have stocks, bonds, and gold performed after options expiration week in August? Let’s backtest and find out: Trading Rules [am4show have=’p2;p3;p58;p59;p130;p138;’ user_error=’Premium Post Access’ guest_error=’Premium Posts’] Trading rules: [/am4show] First, let’s backtest the performance of stocks (S&P 500) since 1985. We chose 1985 because it was around this time that derivatives started attracting interest…
Trend 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 the Journal of Wealth Management. Meb Faber found the 200-day moving average useful and decided to look at the following simple trend following system in…
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