Posts Tagged ‘ stocks ’

Let the Lagging Lead

November 18, 2011
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Let the Lagging Lead

THIS IS NOT INVESTMENT ADVICE AND WILL PROBABLY WIPE OUT ALL YOUR MONEY IF PURSUED.  While exploring utilities, I discovered a strange phenomenon that I have not quite thoroughly understood, but I attribute to the business cycle.  If I dust o...

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Evolving Domestic Frontier

November 1, 2011
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Evolving Domestic Frontier

When we learn the efficient frontier, most are misled to believe that the frontier is static and unchanging.  However, we should have all learned by recent experience that the frontier is as volatile as the assets that construct it.  If we lo...

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Backtesting Part 4: random strategies

October 21, 2011
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Backtesting Part 4: random strategies

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In part 2, we found that our 200-day high, hold 100 days strategy yielded average annual return...

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Backtesting a Simple Stock Trading Strategy: Part 3

October 17, 2011
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Backtesting a Simple Stock Trading Strategy: Part 3

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In a previous post, I examined a simple stock trading strategy: Find the high point over the la...

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Efficient Frontier of Buy-Hold and Tactical System

October 6, 2011
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Efficient Frontier of Buy-Hold and Tactical System

In my mind, there are two very disparate views in the money management space: Markowitz style diversification and Faber style tactical allocation. I thought it would be fun to see what happens when we try to blend the two with an efficient frontier bet...

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Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

September 16, 2011
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Backtesting Part 2: Splits, Dividends, Trading Costs and Log Plots

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   In my last post, I demonstrated how to backtest a simple momentum-based stock trading strategy ...

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Correlations among US Stocks: Is it really time to fire your adviser?

September 15, 2011
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Correlations among US Stocks: Is it really time to fire your adviser?

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data. The Financial Times says it's time to "Fire your Adviser" because correlations among US stocks ar...

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Backtesting a Simple Stock Trading Strategy

September 13, 2011
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Backtesting a Simple Stock Trading Strategy

Note: This post is NOT financial advice!  This is just a fun way to explore some of the capabilities R has for importing and manipulating data.   I recently read a post on ETF Prophet that explored an interesting stock trading strategy in Ex...

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Mode vs Mean in Tactical Allocation

August 25, 2011
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Mode vs Mean in Tactical Allocation

Let’s take Modest Modeest for Moving Average one step further and use it in a basic tactical allocation system using Vanguard funds.  THIS IS NOT INVESTMENT ADVICE AND VERY EASILY MIGHT CAUSE LARGE LOSSES.  VANGUARD FUNDS IMPOSE EARLY REDEM...

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Modest Modeest for Moving Average

August 24, 2011
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Modest Modeest for Moving Average

I have no idea who originated the idea of using moving averages to determine entry and exit points in a trading system.  I do know that Mebane Faber (briefly discussed in Shorting Mebane Faber) has recently popularized the notion through his >7...

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