Category Archives for "Market Timing"
March 27, 2024
- in ETFs , Market Timing , Rotation by Cesar Alvarez
UPRO/TQQQ Leveraged ETF Strategy
Recently a reader sent me a leveraged ETF strategy that he wanted tested for the blog. Over the last couple of months, I have been noticing renewed interest in leveraged ETF trading. More clients are coming to me to test out leverage trading ideas. I have been testing my own ideas. What I liked about this strategy is that it moved between leveraged ETFs, non-leveraged ETFs and TLT.
September 27, 2023
- in ETFs , Market Timing , Research by Cesar Alvarez
Reducing Whipsaws When Using 200-day Moving Average for Market Timing
I was working on testing a market timing indicator that I read about it. It was showing some promise and the next step was to compare it to my benchmark. My benchmark is using the 200-day moving average. But an additional rule removes a lot of the whipsaws that can happen.
After doing the comparison, the market timing indicator compared well. But then I realized I had not written a blog post about my additions. I touched on it in the Market Timing with a Canary, Gold, Copper, LQD, IEF and much more post.
For me, the goal of using the 200-day MA to trade the SPY is to get about the same CAR but with a significant reduction in MDD.
June 23, 2022
- in ETFs , Market Timing , Research by Cesar Alvarez
Using Historical Volatility for Parameter Adjustment
The AllocateSmartly website often has interesting posts. Recently I was reading the article Trending Fast and Slow and thought about other ideas to test. The article is based on research on trading the SPX and depending on the current historical volatility one would either use a 12-month or a 1-month lookback to decide whether to enter or exit the trade. I had tried similar ideas before but not this one.
May 18, 2022
- in ETFs , Market Timing , Research by Cesar Alvarez
SPX and Gold Momentum Portfolio
Given the current rise in inflation, there has been a lot more interest in assets that do well during these times. Gold is one asset that is frequently brought up as an inflation hedge. I have also seen more lately about combining these two into a portfolio.
January 12, 2022
- in General , Market Timing , Research by Cesar Alvarez
SP-500 Seasonality
I’ve been seeing lots of seasonality type charts on the S&P500 where they take the average return for each day of the year and then create a return curve for the year. The chart often ‘shows’ the sell in May and buy in November flatness of the returns. And then the holiday end of the year run up.
Steven, my trading buddy, sent me yet another chart and I noticed something I had not seen before. A beginning of the year downtrend from January to mid-March. This got me thinking. How much does the start of the data set impact these charts?
November 10, 2021
- in General , Market Timing by Cesar Alvarez
Rolling Returns for the SP-500
I just got back from a long vacation in Iceland (highly recommend visiting). As usual, when people discover what I do, they ask me about the markets. Several people were worried that the markets are too high. Then I read that the 20-year return of the SPX from 2001 to 2020 was way below the average 20-year return. My thinking was how could the massive run since 2009 not have gotten us above the average. As usual, I had to test it.
June 24, 2020
- in General , Market Timing , Research by Cesar Alvarez
How to turn off a strategy using historical volatility
A very common question I get, is “when should I turn off a strategy?” Given the very volatile markets we have had the last few months, I can relate. Some strategies can thrive in these high volatility markets. While others can suffer.
In the June 2020 issue of Technical Analysis of Stocks and Commodities, Perry Kaufman writes an article about using the historical volatility of the equity curve to decide when to turn off a strategy. I always read Perry’s articles because they are full of good ideas and this was another one that I liked and had not tried before.
April 22, 2020
- in Market Timing , Research by Cesar Alvarez
Market Cap vs. Crash Severity
Has the market sell-off and subsequent bounce treated all stocks the same? A good portion of the bull market move from 2009 to 2019 has been led by the big-cap stocks. Did they hold up better during the March sell-off? What about with the bounce? Did the smaller-cap stocks have a bigger bounce?
March 20, 2020
- in General , Market Timing by Cesar Alvarez
Escalator on way up. Broken elevator on the way down.
I have been waiting for a close under 2350 to write this post. Today the $SPX closed at 2304.92.
Markets slowly grind up. But crash quickly. How quickly? I will be looking at each new drawdown low since the market top on February 19, 2020 and then seeing how many days of market gains were erased since the previous time
February 26, 2020
- in ETFs , Market Timing , Research by Cesar Alvarez
Market will be up 9.7% in 3 months!
When this sell-off indicator triggers, it is correct 100% of the time! On average the market is up only 2.6% in 3 months.
