ETF Prophet

This post is about how I define how much money is assigned to each trade also known as money management. More sophisticated traders define money management about how much risk you want to take for given trade. I want to extend that to how one can reduce risk and improve returns of it’s overall portfolio by using advanced [...]

Jack Welch is one of the most recognizable names in business as the former CEO of General Electric. His skills and leadership in running one of the largest companies in the world have been the source of numerous books and case studies in the business literature. Running such a large corporation like GE that makes [...]

A desirable goal of relative strength investing or any type of portfolio algorithm would be to track the best stock/asset from a group of stocks/assets in hindsight. In other words, we wish to use an approach that can “follow the leader.” This goal is a close relative of universal portfolio algorithms (see Universal Portfolios http://www.stanford.edu/~cover/portfolio-theory.html  that [...]

. . . . . . . . . .. .. . . . . . . . . . . Last Week Last weeks NEW trades slightly stretched available cash. As already stated in earlier posts I’m going to reduce the number of shares for LAST position within NEW trades sections: BUY ERTS 645 instead [...]

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I will preface this post by saying that this is a concept that I have not yet had a chance to test out. That said, I usually start first with a theory or a logical observation and proceed to creating a quantitative method to capture that insight. The concept relates to everyone’s favorite topic–relative strength [...]

While the market continues to log extended directional runs in a relatively high volatility environment, you may have noticed the recent dramatic reduction in average daily range. The charts below track the cumulative absolute change in daily S&P 500/SPY price over the course of the last trading year. While granting the major ‘reset’ in valuation [...]

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…

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…

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…

In the past 2 months I’ve been tracking volatility of ETFs and futures according to a formula that normalizes it in relation to the 200 day standard deviation of their True Range. ECH, or Chile’s stock index tracking ETF has been leading the pack for weeks now in the volatility and direction departments among a [...]

Positive seasonality has been run over the past 2 days by strong selling. To see such a weak start to a month is rare. There have only been 5 other times since its inception where the SPY lost over 2% on the 1st day of the month and then closed lower a…

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 [...]

Hi and Merry Christmas & Happy New year to one and all. Thanks for reading this blog over the past year. I’ve enjoyed sharing my research over the last year and I’m pleased to be back in the hot seat now my move back to the UK is finally bedded in. The New Year is [...]

Just feeling my way back into the markets after a nice road trip from Vancouver to Calgary and back through beautiful British Columbia. Staying a night in a teepee in Golden was certainly a highlight. A few interesting articles out there to share: I've been wondering about hedging vs stop losses for various strategies for [...]

If you haven't seen it, there's a nice argument building on FTfm (Financial Times Fund Management) about the merits of Active vs Passive investing. I was particularly intrigued given the new UK coalition governments proposals to increase capital gains taxes on shares to 40% and perhaps 50%. The is a backlash against this, so the [...]

As a follow up to my previous post, I thought it would be interesting to share the following: Here are the trading results from three different FTSE 100 vehicles all trading the same method – The DVB buying below 0.5 and selling above 0.5.  FTSE = FTSE 100 cash indexISF = UK listed ETF of [...]

Just thinking out loud with this and would welcome any other opinions. I've been doing some extensive testing of David Varadi's new product and am impressed (to say the least), although have only scratched the surface so far. One thing that puzzles me me is that the FTSE does not respond to all the strategies/ [...]