Category Archives for "Market Timing"
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.
OR NOT!
August 7, 2019
- in ETFs , Market Timing by Cesar Alvarez
Market Timing and Bond ETFs
In my last two posts, Market Timing with a Canary, Gold, Copper, LQD, IEF and much more and Day of Month and Market Timing, I assumed that we earned no interest in cash. Most methods did a good job of telling us when to be in the SPY and when to be in cash. How much could we boost returns by investing the cash in a bond fund?
July 17, 2019
- in Market Timing , Research by Cesar Alvarez
Market Sell-off Analysis How often does a 5% market sell-off become a 10% sell-off?
We often hear that the market is 5% off its highs or that it is down 5% from the high of the year. This alone does not tell us much. The question I want answered is how often does that 5% loss become a 10% loss? Or worse yet a 20% loss?
Read the rest of my guest post, Market Sell-off Analysis: Baseline Historical Facts, over at Alpha Architect.
Good quant trading,
July 10, 2019
- in ETFs , Market Timing by Cesar Alvarez
Day of Month and Market Timing
In my previous post, Market Timing with a Canary, Gold, Copper, LQD, IEF and much more, I tested several market timing methods. The signal was checked on the last day of the month. Now the question is what happens if we check on a different day? How different will the results be?
June 12, 2019
- in ETFs , Market Timing , Research by Cesar Alvarez
Market Timing with a Canary, Gold, Copper, LQD, IEF and much more
One commonality in my strategies is the inclusion of a market timing component. This could be a signal to go into cash or reduce position size or enter a ‘safe’ ETF. This applies to my swing trading strategies, my monthly rotation strategies and my Tactical Assert Allocation strategies. As a researcher, I am always on a looking to improve this part of my strategies.
There have been a handful of market timing methods I have been wanting to test and compare with my current 200-day moving average version. I collected enough of them to test all at once and to compare the results.
