I’ve been doing some research around something called External Relative Strength (ERS). ERS measures the stock’s price performance relative to all other listed equities. Basically, it measures how well or poorly a stock is performing relative to its’ peers. Our research suggests that the market has a strong propensity to …
Blog Posts
Few propositions in economics are held with more fervour than the view that financial markets are “efficient”, or that future price changes are unpredictable. Another strongly held view is the random walk hypothesis, which state that stock prices evolve according to a random walk and thus cannot be predicted. If …
After my blog last week on ANG the stock rose dramatically on an intraday basis, almost 9%! Many of our clients with long positions in the stock managed to close out near the highs, recouping most of their losses. I had someone ask what I thought caused the spike higher, …
In their excellent paper, Cole Wilcox and Eric Crittenden explore whether or not trend following strategies can achieve alpha when applied to the stock market. The vast majority of funds that operate trend following type strategies focus in the commodity and forex markets, where long-term sustainable trends driven by economic …
In this post I’ll review a simple strategy that I developed many years ago that attempts to exploit reversion to the mean. I’ve named the strategy Jaws due to the Jaw like pattern that the indicators exhibit before an entry condition occurs. The rules: Buy on the close when the …
Ho, ho, ho…. it’s that time of year again! Will Santa come to town bearing gifts in the form of a rally in equites in the final week of the year? If you are not familiar with the Santa Claus rally, as this has come to be known as, it’s …