Using statistics to map the trading day
This will be a very quick blog, as I'm just typing a few thoughts here in the first few minutes of what might be a volatile trading day. This morning,…
Santa Claus rally: updated stats and expectations
This is the last in a series of blogs looking at December seasonality in stocks. To quickly recap, the first post used a simple binary (up/down) classification to look at…
Is Santa afraid of the Bear?
This is a continuation of a series of posts looking at December seasonality in the stock market. The previous post is here, and the goal of this series is to…
‘Tis the season… or is it? A deeper look at seasonality in stocks.
This is a followup to my previous post that included a visualization of seasonal tendencies for about 90 years of the US stock market. A visualization like that is a good…
Is Santa Real? Monthly seasonality in the DJIA
This is the first in a short series of blogs in which we will look at the so-called Santa Claus rally in stocks and find some answers to the question…
An old paper I co-authored: Patterns in Stock Market Returns (2006)
As we round the corner into the Thanksgiving holiday, I thought I would share another piece of my old writing. I recently found this paper as I was searching through…
Let’s talk turkey: Thanksgiving seasonality in stocks
This is a slightly edited version of the note I sent to my Talon Advisors clients this weekend. There is always a lot of discussion about seasonality at the end…
When percents fail
Let's think a bit about "signal generation". When we test something in the market what we're looking for is an answer to "What happens after _______ occurs?" This is really…
How bad was October 2018, and what comes next?
There’s been a lot of discussion and stats thrown around recently, much of it centered around the idea of “like we just had the worst October ever.” I thought it…
Understanding intermarket relationships with scatterplots
Please read my last post first, before you begin this one. I ended the last post by suggesting that we were probably more interested in changes than in price levels.…
Revisiting streaks
In a previous post, I gave a look at my published swing trade record, with a title on the post of Trading is Hard! Let's revisit that concept, almost exactly…
Is this weird or not? The daily relationship between the S&P 500 and the VIX.
As I was wrapping up a Friday afternoon and getting ready to go play outside, I saw a post in a Facebook group where a guy asked what was up…
Video blog: What’s happening with the yield curve and why do we care?
Here's a look at history and the stats behind the fluctuations in the US Treasury Yield Curve. https://youtu.be/iagtes45ek0
Probability and Strings of Losses
I received a question from a reader, David: Hey help me out please. I was reading a good blog by a smart math guy and he said that your next…
What should you expect after a big drop in stocks?
We've had a very large decline in stocks this week. Depending on what index you use and how you measure, it's the biggest or one of the biggest in the…
Roll em! How to calculate futures rolls (and why you care)
This post will be a bit more technical than most, but it’s an important subject to understand. Today, let’s talk about rolling and back-adjusting futures prices: why we did it.…