Market Math
This is a slightly edited version of the note I sent to my Talon Advisors clients this weekend. There is always a lot of discussion about seasonality at the end of the year. This is a troublesome topic—on one hand, there are reasons why seasonality should work: portfolio managers
Market Math
Let's think a bit about "signal generation". When we test something in the market what we're looking for is an answer to "What happens after _______ occurs?" This is really the essence of all backtesting and system development--that question covers everything from casual
Market Math
There’s been a lot of discussion and stats thrown around recently, much of it centered around the idea of “like we just had the worst October ever.” I thought it might be interesting to crunch some numbers to see how bad it really was, and if we can draw
Market Math
Please read my last post first, before you begin this one. I ended the last post by suggesting that we were probably more interested in changes than in price levels. If this isn’t immediately intuitive, then think about it like this: when you put on a position, it’s
Market Math
In a previous post, I gave a look at my published swing trade record, with a title on the post of Trading is Hard! Let's revisit that concept, almost exactly a month later. The point of that post was that outcomes are "streakier" than we wish--we
Market Math
As I was wrapping up a Friday afternoon and getting ready to go play outside, I saw a post in a Facebook group where a guy asked what was up with the market because this was a rare day on which the market was down, and so was the VIX.
Institutional Managers/Traders
Here's a look at history and the stats behind the fluctuations in the US Treasury Yield Curve.
Market Math
I received a question from a reader, David: Hey help me out please. I was reading a good blog by a smart math guy and he said that your next trade is always 50% chance of win. No matter what your overall win ratio is the next trade is always
Market Math
We've had a very large decline in stocks this week. Depending on what index you use and how you measure, it's the biggest or one of the biggest in the past few years. The world is also tense with geopolitical concerns: economic numbers from major economies
Market Math
This post will be a bit more technical than most, but it’s an important subject to understand. Today, let’s talk about rolling and back-adjusting futures prices: why we did it. How we do it, and what it means when we look at historical charts. Futures pricing First, a
Market Math
I ran a quick study this morning to look at what happens to stock market volatility following large single day volatile events. Note that we are looking at market volatility here, not direction, because the directional message is simpler and clear: historically, large volatile events in stocks have come after
General Comments
This will be the last post in a short series in which we have looked at ways to quantify and to understand a trading edge. This series was motivated by a reader's question, so here's Anthony's question again: First, I was messing with the