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The Predictive Value of the Number and Magnitude of Recent Up/Down Days: UDIDSRI
Rummaging through my bottomless “TO DO” list, I found this little comment: # of up/dn days in period, then re-scale that using percentrank….with net % move? An interesting way to spend Sunday...
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S&P 500 Returns Following New Lows (and Highs)
Today the S&P 500 closed at a 20-day low. Is there anything useful we can do with this piece of information? Let’s take a look at the performance of SPY after it closes at a 20-day low: Not...
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Equity Returns Following Extreme VIX and WVF Movements, Part 1
Can extreme changes in implied volatility help predict future returns? And can we use a VIX surrogate as a substitute? First, let’s take a look at the WVF and its relationship to the VIX. The Williams’...
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Closing Price in Relation to the Day’s Range, and Equity Index Mean Reversion
UPDATE: read The IBS Effect: Mean Reversion in Equity ETFs instead of this post, it features more recent data and deeper analysis. The location of the closing price within the day’s range is a...
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Hedging VIX ETP Strategies Using SPY
Introduction A quick intro to VIX ETPs (some are ETFs, others are ETNs)1 before we get to the meat: the VIX itself is not tradable, only futures on the VIX are. These futures do not behave like equity...
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The VIX:VXV Ratio
The VXV is the VIX’s longer-term brother; it measures implied volatility 3 months out instead of 30 days out. The ratio between the VIX and the VXV captures the differential between short-term and...
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k-NN Candlestick Pattern Search Extensions: More Data
This is a followup to the Mining for Three Day Candlestick Patterns post. If you haven’t read the original post, do so now because I’m not going to repeat the basic mechanics of the strategy. While the...
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k-NN Candlestick Pattern Search Extensions: Combining Forecasts
The second, and probably final, followup to the Mining for Three Day Candlestick Patterns post. Previously, we improved performance by adding more data to the search. In this post we’ll try to improve...
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Divergences: Yield Spreads and Size
And now for something completely different. A bit of macro and a bit of factor relative performance: what happens when yield spreads and small caps diverge from the S&P 500? High Yield Spreads...
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Overnight Risk
Why are overnight periods riskier? For one, you can’t use stops to limit your risk. But more importantly, the distribution of overnight returns has far more extreme negative returns than the intraday...
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