Market Math
Yesterday I wrote a post that looked at asset returns and how to compound them. That post was in response to a reader's (Anthony's) question, and I want to continue answering more of the question today. Here's the question in its entirety, with the
Market Math
One of my readers, Anthony, sent me a good question about doing some statistical analysis on stock indexes. I think there are some important lessons here. Here's the question First, I was messing with the SPY up/down N-days and the returns N-days after. It was evident that
Market Math
It can difficult to dig into someone else's work and research. I wrote a post a few years ago about why using the slope of a moving average, moving average crosses, or trend indicators based on multiple moving averages might be a very bad idea. (Answer: because it
Market Math
Reader Jas asked a question about backtesting: I was wondering if you'd be able to advise me on how to back test a strategy on some custom indicators. I'm aware of back testing software in the market but not sure if it will do the job
Market Math
I received a good question from Brent: I recently watched [a presentation someone else did] about VWAP and they seemed really convinced it was an effective indicator. I am curious if you have studied VWAP in recent years? Their contention is the black boxes key around VWAP which makes it
Market Math
I've received a few questions about how to calculate a measure I have referred to many times here on my blog and in my published research that I call SigmaSpikes. I've disclosed the calculation in several places, but the question keeps popping up, so maybe I
General Comments
I've spent many hours over the past few weeks talking with my research clients on the phone. (I think this is an important part of what we do at Waverly Advisors--we don't sell a "newsletter" or "service"; we have clients and those
Market Math
In my weekend research report I write for my clients, I shared a few thoughts on correlation. This is a timely topic--we may be entering a period of the market history where a lot of assets link together. This is a risk, as there's always the risk of
Individual Traders
Traders talk about and think about risk all the time, and for good reason: this is a risky business! A lot of things can go wrong, and some of those things can be very dangerous--a single mistake can effectively put a trader out of business, often in a matter of
Market Math
So the stock market sold off hard yesterday. If you were living under a big enough rock you might have missed it, but now the doom and gloomers, the technicians pointing at broken "levels" and trendlines, and the permabears will probably be saturating the media for a few
General Comments
Most of us who write about financial markets look to the future. Yes, there is a place for theory, and any theory lies on a firm foundation of what has happened in the past—history matters. But what probably matters most to us is the future: what is around the
Market Math
This is another post in the small series on tracking, understanding, and trading relative performance. In previous posts, we looked at two ways to track relative performance as a percent change from some previous point in time, considering that previous point either as a structurally significant swing point or an