I’ve been doing some work on volatility products and I’m particularly interested in finding long volatility strategies.
Unfortunately, there are several reasons why betting on volatility going up is difficult:
- Stock markets tend to go up and volatility tends to drop.
- Volatility products that track the VIX suffer from time decay.
- Macroeconomic factors and central banks work to reduce volatility.
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Position sizing is an important topic but many investors don’t give it much thought.
In this article I will look at a method that uses the RSI indicator to size positions. This means we can buy more when the price is low and buy less when the price is high. Read more »
Humans have been trying to time the stock market with fancy indicators since the beginning of time. But do they work? In this article I test five different market timing indicators. They are:
- Coppock Curve
- Zweig Breadth Thrust
- Arms Index (TRIN)
- McClellan Oscillator
- No. Of New 52-Week Lows
These market indicators are all available with my historical database from Norgate Data. Read more »
I have recently been looking at some old materials and I came across another interesting work by Larry Connors and Cesar Alvarez regarding Bollinger Bands.
Bollinger Bands were developed by John Bollinger and can be used in a number of different ways. In this article, we will use Bollinger Bands to find mean reversion trades.
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I try to keep Marwood Research topped up with new trading strategies every month. This month, another interesting investment strategy has been added to our program called Mid Cap Winners.
Mid Cap Winners is a medium term investing system designed for the mid cap space with an average holding period of around 60 days. Read more »
Japanese candlestick patterns are useful because they allow traders to quickly visualise price action in the market. There are many different patterns and many different opinions on their effectiveness.
In this article we will look at a trading system that attempts to dynamically select the best performing candlestick pattern from the previous six months and trade that pattern for the next month. Amibroker formula will also be provided. Read more »
Financial visualisation website FINVIZ.com is one of my favourite trading tools. I use it every day to keep a tab on markets and look at charts.
The stock screener on Finviz is also one of the best I’ve found with more than 60 filters that can be applied to 7000 US stocks.
In the rest of this article, I will take a simple stock screen from Finviz and backtest it on historical data using the backtesting platform Amibroker. This will give us an idea of what to expect if we were to pick stocks according to the screen. Read more »
After a period of some thirty years of increasing bond prices, and with the Federal Reserve committed to a policy of gradually increasing interest rates, the time for long-based trading strategies on US treasuries could well be coming to an end.
Many, including former Fed chairman Alan Greenspan, have called the bond market a bubble ready to pop. With this in mind, this article presents a simple trading strategy that shorts the US ten year note using the ATR (average true range) indicator.
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Longer term readers and members will know that I try to keep Marwood Research updated with new trading strategies and information on a monthly basis.
This month we have added a brand new trading strategy to the program called Trading For Yield. Read more »
The 200 day moving average is an extremely popular indicator among traders and trend followers. When a stock is above the 200 day MA, it’s said to be in an uptrend and when it’s below, it’s said to be in a downtrend.
In this article I look at a strategy that buys upward trending stocks as they pull back towards the 200 day moving average line. I test the signal on S&P 500 stocks back to 2000 but I find no real edge to this signal on it’s own. Read more »