On the fifth of February 2018 the Dow Jones Industrial Average saw its largest single day drop in history. This drop coming off a market sell-off at the end of January has caused many investors to call for the start of a bear market. Are these claims well founded, or just good headlines?
Firstly, dollar amounts are likely the worst way to look at market changes as they skew the data. In 1929 the Dow fell from around 300 to 230. A 70 point move means nothing in today’s market environment.…
I’m about 1/3 of the way through “The Complete Turtle Trader” by Michael W Covel, and I’m enjoying myself. His narratives about the people are entertaining, though that’s not why I bought the book. It does give me color into how technical traders think, though. It also is nice to hear that simpler is better. I also like his scientific approach:
When it comes to figuring out what positions you want to add to your portfolio, it can be extremely useful to sort the results of your screen even further. We can do this by using deciles, or breaking up our results into units of 10% as we rank our results based on whatever variable we decide is important.
Here are all of the different deciles backtested and plotted on our primary backtest. This screen looks for the rank of a company’s sale growth over the past three years.
So How Could you use this?
All you have to do is use our “rank_across” operator.…
I'm happy to say that we're encouraging university classrooms to use Equities Lab in their classwork. Here's an example of some of the work that has resulted. Notice how well the long/short strategy does… It's been reprinted, unedited, other than some (partial) attempts to format what used to be a Word Document for WordPress.
GOIZUETA BUSINESS SCHOOL
Rationale for Approach
The overall main goal was to create steady, positive returns while avoiding large draw downs and a high standard deviation. The ideal market neutral strategy would generate a high positive alpha combined with a beta close to zero, indicating there is very little exposure to the market.…