ETF Prophet

The All-Weather Portfolio was introduced by Ray Dalio- the founder of Bridgewater -which is arguably the largest and most successful hedge fund in the world. His landmark concept was to create a portfolio that would have roughly equal risk in four different economic regimes: 1) rising growth 2) falling growth 3) rising inflation  and 4) falling [...]

After months of researching and coding and much help from Jeff Pietsch, I have finally completed the basic Walk Forward Test!

I’ve been working on bigger projects till about a week ago then I got real curious about a trading idea: what happens to S&P 500 next week when commodity currencies are aligned up or down the same day? What happens if I want to reduce the drawdown periods and increase the run-up periods? what happens [...]

With this post I want to share some very interesting research insight from the world of correlation.  Correlation metrics get a lot of attention during severe bear markets. That’s because most markets go down together, hence correlation is raising among the various markets and asset classes. Conventional market wisdom says: high correlation among markets and [...]

Most conventional quantitative methods from forecasting to optimization suffer from the existence of large outliers in the data. There are many responses to remedy this problem, from using bootstrap/re-sampling techniques to winsorization. In either case these solutions are either computationally intensive or somewhat arbitrary in nature. Sampling intensive procedures are slow and cumbersome, while many [...]

Investors and traders often take a one-dimensional view of time frames in the stock market. The media pundits often refer to the fact that it is a “bull” or “bear” market as if there was only one time frame required to make such an assertion. Contrast that with the fact that both traders and investors [...]

In my on going quest to find the building blocks of a better, more adaptive Parabolic Search and Rescue Stop and Reversal system, I was coached by David Varadi of CSS Analytics and Jeff Pietsch, aka Market Rewind, to develop a Walk Forward Test on futures markets across several different asset classes using various performance measures. I [...]

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…

In the on-going search for short term leading indicators FXE has done a nice job of leading SPY action over the past 2 months.  Above is the FXE chart with  SPY shown as the orange line overlay…all on 2 minute bars.  These correlations tend to exhaust periodically and the ETFR Pairs Model is an easy [...]

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…

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…

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…

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…

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…

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…

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…

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…

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…