Monthly Archives: January 2014

Short SPX for 2014

The purpose of this post is to explain why and how I shorted the S&P 500 on Jan. 6.  In an earlier post, I described the two methods I use for detecting “tops” or, more precisely, local maxima.  I also … Continue reading

Posted in Indicators | Tagged , , | Leave a comment

Robots Strike Again

I posted about this a few weeks ago, and now Twitter has supplied another example: This trader would still be in a not bad position but, once his stop was triggered, he got hosed for a $2.41 loss.  Nothing is … Continue reading

Posted in Trading | Tagged , | Leave a comment

For Canadians Only

In addition to system trading, I like to keep part of my capital in a “macro” trade.  This is some perversity of having read too much economics at business school.  Last summer, I went short U.S. bonds.  This returned 5% … Continue reading

Posted in Economics | Tagged , , | Leave a comment

Thoughts on Correlation

Mean reversion is aided by volatility, and momentum trading is aided by relative strength.  I have been exploring the distribution of relative strength.  Market strength and breadth are handily characterized by the mean and standard deviation of this distribution.  It … Continue reading

Posted in Indicators | Tagged , , | Leave a comment