ETF Prophet

Trading the DVB indicator has been a very effective way to trade markets like the S&P 500 (or the SPY ETF) in the last few years. The basic method is to buy on a low reading (<0.5) and sell on…

I’ve been taking a look at gaps recently, specifically putting some numbers on David Varadi’s Normalised Gap/ Lap Indicator. First, it’s good to set some benchmarks with regard to the performance of gap fades on SPY (S&P 500 ETF). I’ve…

Compared to the US, low cost investing in the UK is a bit of a misnomer, but we still have to make the most of a bad situation. A recent article in the FT (Behind the paywall sorry) highlighted this…

For a while I’ve puzzling over forex markets and how they differ from other markets such as US equities. After much research, I can certainly say (surprise, surprise) that FX is a very different market and compared to the SPY,…

Following on from my last couple of posts on the Parabolic Time Oscilator (PTO), I’ve been playing around with another variation on this theme. David Varadi introduced the PTO which looks at the length of time a market has been…

As a follow up to my last post on the PTO oscilator, I thought I’d do a quick follow up on how it relates to Mean Reversion indicators like the DVB. In theory, the PTO could act as a reasonable…

David Varadi recently posted an idea for a Parabolic Stop and Reverse (PSAR) oscilator. Full details here: Here’s a summary: 1) Record the days in a Parabolic SAR long or short position until the trade reversed 2) Take the 100-trade…

In my first post on this topic I looked at whether intraday range could be used as an environment filter to help predict the favourability of Mean Reversion type strategies. Specifically I looked at the ratio of the low compared to the close as a % of the day’s range. Let’s call this the Low-Close [...]

Incredible moves on markets right now, centred around the yen.  As a few other people have noted such as WSJ's market beat, it will be interesting to see what comes out of the woodwork with a move like this. Could there indeed be another Nick Leeson lurking? I don't know what cause this latest spike, [...]

In December I took at look at using seasonality filters to improve on systems such as the DVI/ DVB Combo method. With financial markets starting to get a little more interesting, it's time for an update.  You can find the original post here First let's take a look at the performance of the DVI/ DVB [...]

With markets finally erm reverting this week, it's a good time to update on the success of the most basic of mean reversion strategies – namely buying after a down day and selling after an up day.  'Mean Reversion' is a nebulous theme, but the core idea is to sell when the market is too [...]

I'm not sure how to use this, or the implications of it, but I though the following was worth sharing.  I've been looking at the day's trading range as a predictable variable for trade management purposes and was struck by often daily range size appeared to be mean reverting, just like markets can be (or [...]

After reading this post from dshort musing that stock markets are looking a bit rich, I thought I'd update on the performance of the PE10 + momentum. You can view my last update here and my original post here.  The basic idea with this model is to use Robert Schiller's Cyclically Adjusted rolling 10 period [...]

I've been looking at the trending potential of currencies recently, noting that they are more prone to trend following than mean reversion type pull backs.  In my test I performed a simple analysis looking at the performance of the DVB indicator.  In both mean reversion and trend following mode. As a brief recap, the DVB is [...]

The Down Jones is close to hitting the headlines with a close above the 12,000 level as the the seemingly inexorable upwards grind continued.  I happened to glance at a weekly chart of the Dow and was quite amazed what I saw. I hadn't realised the recent rally had been so consistent on a weekly [...]

With worries about China raising rates hitting commodities recently, I found the picture presented in this blog quite amazing: Shanghai in 1990 vs 2010. H/T FT Alphaville. 

[I wrote a draft of this piece the other night and with well timed irony, the S&P 500 has finally pulled back] One thing that's puzzled me is what to do with trend following markets. There has been a lot of research on what to do with a mean reverting market using short term indicators [...]

I've a lot of respect for Michael at Market Sci. Irrespective of the actual performance of the strategies on offer or blogged about, I have a lot of time for anyone prepared to put their record out there in public for all to see. It's relatively easy to research an idea, but showing its public [...]