ETF Prophet

Our Flickr Channel Our Facebook Our RSS Feed follow us on twitter
About Dave Evans:
Dave Evans's Personal Page

Subscribe to my RSS!
United Kingdom - Dave has a background in psychology and is a trained psychologist. He developed an interest in financial markets when trying to figure out what went wrong with an investment he inherited. Dave’s interest is primarily in quant-based methods that may help take the indecision out of more subjective decision making.

Friday Fun – Let’s Fly

Posted on February 3rd, 2012

Combo Templates ~ When Two Is Better than One

Posted on December 13th, 2011

In a past post I blogged about the advantages of combining a short term mean reversion indicator with an intermediate term indicator of the same bent. Click here to view the post. As a recap, the DVI/B combo method helped…

Close to Close or Open to Open?

Posted on December 8th, 2011

Much of my trading and system research is based on entering the trade at the close and exiting at the next day’s close. There’s one practical problem with this – Trading from the UK this means checking/ acting on trades…

Managing Systems with the Rolling Sortino Ratio

Posted on November 3rd, 2011

The Rolling Sortinos

Posted on October 21st, 2011

In a recent post I previewed a neat service coming soon from my colleague Jeff Pietsch that ranks various indicators by their rolling 252 period Sortino ratio. I raised the possibility of being able use these rolling Sortinos to switch…

DVB’s Evil Twin & The DVI

Posted on September 28th, 2011

I’ve blogged recently about the change in market behaviour recently, particularly in relation to short term mean or range reversion. Quite simply, the market aint behaving like it used to. In some ways, we had it too easy in recent…

What’s working right NOW?

Posted on September 16th, 2011

There’s no doubt markets are behaving in a different than they have in recent history. Some short term indicators like the DVB have fallen out of sync with markets. While there are some ways to filter and adjust to market…

Days since 200-day highs

Posted on September 7th, 2011

I found a recent post by Woodshedder on the behaviour of markets after 200 day highs and 200 day low absolutely fascinating. Well worth a read. I was interested in this conclusion: "The market making new 200 day highs is…

Gold/ Futures Divergence

Posted on August 22nd, 2011

Interesting divergence between S&P 500 futs and gold today: Interesting times. With the Swiss franc and Yen seemingly off limit due to the thread of central bank intervention, it looks like gold could cement its place as the go to…

Equity Curve Surfing & Other Filters

Posted on August 14th, 2011

Following my last post on the struggles the DVB indicator is having, a reader reminded me of this excellent post Jeff Pietsch’s market rewind blog. Worth a read certainly. The main highlights from this post for me are these three…

When Does Oversold Become a Sell Signal?

Posted on August 10th, 2011

My favourite short term indicator the DVB is not having a happy time of it, doggedly signalling long, but the market has been stubbornly refusing to listen. Trading the indicator via the basic method of long below 0.5 and short…

What the crash says about the UK pension apartheid

Posted on August 8th, 2011

For me, the recent market shakeup has highlighted the growing pension apartheid in this country. There is a clear division between… 1) The pension haves (final salary pensions usually public sector) and 2) The have nots (everyone else on defined…

Is it just the Time of Year?

Posted on August 8th, 2011

As European politicans cut short their grande vancances to attend to the latest crisis, it’s worth having another look how the Halloween effect is once again playing out. The theory is that markets perform best between November and May and…

Dow Losing Run – Quick Stats

Posted on August 3rd, 2011

The Dow is on course of its 7th losing day. Going back to 1990 there have been just five seven day losing runs and just two eight day losing runs (October 2008 and September 2001). Average returns following a 7…

Measuring Indicator Instead of Market Volatility

Posted on July 28th, 2011

Question – Can you use volatility In DVB scores to modulate the indicators usage? Historically, mean reversion type indicators have performed better in volatile conditions compared to trend following conditions (when the price does not pull back). Instead of using…

Applying Normalised Volume

Posted on July 12th, 2011

I’ve never been able to get much out of volume analysis, but then again I’ve not really given it too much serious attention. Logically, if the size of up days and down days has some predictive ability, the volume behind…

DVB Through the Crisis

Posted on June 30th, 2011

I’ve been out of action trading wise for the last month. I got married at the start of the month and enjoyed an active yet refreshing honeymoon in Peru for 3 weeks (We’re not beach people!). Even in the Peruvian…

DVB & TSI Ranking — Part II

Posted on May 24th, 2011

Following on from my last post looking at TSI rankings to choose the market to trade DVB, I thought I’d follow up on a couple of the ideas mooted in my last post. The general idea is to trade the…