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In a retro flashback to our earlier “zone” concept, it is important to understand how volume interacts with different basic market conditions. This is important because it shows you where you are likely to make errors in judgement if you were to simply use one variable on its own such as looking at today’s [...]
The following chart shows the impact of using only the 5-day volume change or ROC of volume to trade the Livermore Top 10 unhedged. As you can see, the returns and risk-adjusted returns are very impressive for such a simple condition–exceeding the returns from buying using other simple conditions such as up/down days or buying [...]
Tagged: livermore index
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In the last post we looked at the recent impact of volume on SPY returns. In the last 60 days, this variable was more predictive than many other short-term variables or indicators. As it turns out, the short-term volume effect is persistent across 3000 bars. Average daily returns are six times higher than buy and hold (.01%) when SPY volume is [...]
I thought it would be useful to point out what is working well in today’s market- in this case over the last 3 months. Below I present a quick and dirty analysis- not as thorough as I would prefer, but enough to highlight some useful data that you can further explore. One of the interesting [...]
The recent dip in the markets coincided with significant dollar short-covering–and hence dollar strength. Asking which caused the other is somewhat akin to asking the classic chicken and egg problem. Nonethless, by digging deeper into the technicals, the commitment of traders, and just common sense economics, it is easy to see (strangely this view [...]
A new conference called Psi-Q will be held in London this June, featuring luminaries in the academic quantitative finance world, as well as risk and fund managers from various banks and hedge funds. Example topics:
How did shared beliefs, practices, ways of calculating, and technical systems impact evaluation of asset-backed securities and CDOs before [...]
For my readers in Asia, I will be conducting a pairs trading workshop in Hong Kong on March 10-11. This workshop is organized by the Technical Analyst magazine and is similar to the one I gave in London last year.However, I have added a few useful insights based on audience feedback. As always, no [...]
Tagged: livermore index
Read the whole story on CSS Analytics.
The last installation was incredibly popular, and thanks to all the public and private commentary (both good and bad) as it makes for better educational/entertainment value for all of us. So feel free to speak you mind—–I always like to have a little constructive debate now and then. Now getting back to the article, [...]
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