Category Archives: Quantitative

Homebrew Correlation Indicator

The CBOE index of implied correlation made the news recently, with a high of 72.  This index, JCJ, is not as well-known as the one for implied volatility, but the two are linked. Low correlation suppresses volatility, due to the … Continue reading

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Profiting from Volatility

I have spent the past few days testing the Connors RSI pullback strategy.  It performs very well with certain issues and certain timeframes.  My objective was to find settings that I could use for everyday trading, and I was particularly … Continue reading

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