Archive

Trading Strategies - Posted by on October 5, 2010

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Model ‘TradingTheOdds’ live on Covestor

On August 13, 2010 I opened an (real-time, independently-audited) account with Covestor and Interactive Brokers (the latter providing Covestor with a real-time view into my trading activity and cash position for live replication in mirroring accounts

Studies, Trading Strategies - Posted by on August 16, 2010

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Pairs Trading Part II – SPY vs. RTH

One of the most interesting findings dealt with in a previous posting (Pairs Trading (ETFs) was the RTHs (Retail HOLDR.) salient feature of being a favorable candidate for a potential mean-reversion strategy in conjunction with a major market or sec

Studies, Trading Strategies - Posted by on August 9, 2010

19 Comments

Pairs Trading (ETFs)

First of all thanks for your patience, and from now on I'll be posting again on a more frequent basis. And furthermore I'd like to advise those interested in quantitative research of a new blog I just came across: Engineering Returns by Frank Hassle

Studies, Trading Strategies - Posted by on April 24, 2009

1 Comment

Trading the RSI(2) from 1950 to 2009

A few days ago Michael Stokes at MarketSci made an excellent post concerning RSI(2) readings, the changing frequency of extreme readings, its (the RSI's) quality of forecast and efficiency of trading short-term mean-reversion in the markets over the

Studies, Trading Strategies - Posted by on April 23, 2009

3 Comments

Trading the RSI as a Static Strategy

A few days ago Michael Stokes at MarketSci made an excellent post concerning RSI(2) readings, the changing frequency of extreme readings, its (the RSI's) quality of forecast and efficiency of trading short-term mean-reversion in the markets over the

Studies, Trading Strategies - Posted by on April 8, 2009

No Comments

The Market Shows it Pays to be a Contrarian

The Market Shows it Pays to be a Contrarian There are some often cited adages amongst investing commentators and traders, e.g. "Don't try to catch a falling knife", "The trend is your friend.", "Nobody rings a bell at the market bottom.", "Buy on st

Studies, Trading Strategies - Posted by on March 31, 2009

4 Comments

SPY and Gap Fills

SPY and Sessions until Gap Fill After the SPY left open an unfilled downside gap on Monday's session (see my posting Trading the Odds on Tuesday - March 31, 2009), a reader raised the question how long it regularly takes to get a downside gap in the