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.…
What happens after big spikes in the VIX?
I ran a quick study this morning to look at what happens to stock market volatility following large single day volatile events. Note that we are looking at market volatility…
Evaluating a trade edge: is it good or not?
This will be the last post in a short series in which we have looked at ways to quantify and to understand a trading edge. This series was motivated by…
Common sense checks for quantitative data
Yesterday I wrote a post that looked at asset returns and how to compound them. That post was in response to a reader's (Anthony's) question, and I want to continue…
Gains and losses: understanding returns in assets and trading accounts
One of my readers, Anthony, sent me a good question about doing some statistical analysis on stock indexes. I think there are some important lessons here. Here's the question First,…
Video blog: That trend indicator… is it helping or hurting?
It can difficult to dig into someone else's work and research. I wrote a post a few years ago about why using the slope of a moving average, moving average…
Reader question: how to backtest?
Reader Jas asked a question about backtesting: I was wondering if you'd be able to advise me on how to back test a strategy on some custom indicators. I'm aware…
Reader question: is VWAP useful?
I received a good question from Brent: I recently watched [a presentation someone else did] about VWAP and they seemed really convinced it was an effective indicator. I am curious…
How to calculate SigmaSpikes?
I've received a few questions about how to calculate a measure I have referred to many times here on my blog and in my published research that I call SigmaSpikes.…
Seasonality: Ask the right question
I've spent many hours over the past few weeks talking with my research clients on the phone. (I think this is an important part of what we do at Waverly…
Correlated risk? Or opportunity?
In my weekend research report I write for my clients, I shared a few thoughts on correlation. This is a timely topic--we may be entering a period of the market…
Where are your risks?
Traders talk about and think about risk all the time, and for good reason: this is a risky business! A lot of things can go wrong, and some of those…
What happens after a big down day in stocks?
So the stock market sold off hard yesterday. If you were living under a big enough rock you might have missed it, but now the doom and gloomers, the technicians…
Understanding the uncertainty of our market predictions
Most of us who write about financial markets look to the future. Yes, there is a place for theory, and any theory lies on a firm foundation of what has…