Michael S

Timing a Strategy Using Mean-Reversion: A Critique

Yes, we do it every trading day in our own proprietary strategies (marketsci.wordpress.co.../). In a nutshell, we're making our best estimate re: the market's closing level just prior to trading cutoff time. Occassionally the market moves in the closing minutes and we get the trade wrong, but this is the exception rather than the rule (and hasn't materially affected our results).

MarketSci


On Aug 10 03:11 AM Blair wrote:

> Regarding both strategies, the problem is -- how do you know what
> the market will close at, and secondary can you get an execution
> based on the strategy?
>
> Perhaps what one should do is to use the opening price for the next
> morning as the input value, and close the position at the close for
> the day -- then see what kind of performance one gets

9 Market Extreme Days

Hello Susan - originally introduced the idea in this post...

marketsci.wordpress.co.../


On Jul 27 03:01 PM Susan Weerts wrote:

> Would you mind to elaborate a little more on Our abnormal market
> filter? It sounds interesting.

Leveraged ETFs Not Pushing the Indices to Extremes (Often)

Seeking Alpha editors: can you do me a big favor and change the title of this article to the same one that I have on my actual blog? This title doesn't ring as accurate to me.

Thanks in advance,
Michael Stokes
MarketSci

Defining the McClellan Oscillator - Part II

No sweat off John - doesn't bother me a lick. My posts get automatically reposted from my actual blog.

It's funny...my approach to the market seems to cause a visceral gag reflex in folks (particularly here at SA). If folks would just take a look at what we do, our independently-audited real-time track record, they might change their tune, but it is what it is.

Hope all is well,
michael

The Velocity at Which Markets Rise and Fall

Perhaps, but I think this is much more a function of investor psychology than anything else. michael

About Big Up / Down Days Within Bearish / Bullish Cycles

RE to John: good questions...re: "a similar tendency" - in both down trends and up trends a large number of 2 SD days (positive and negative) have come towards the end of the trend. In up trends, this has been more pronounced (a lot of big days towards the end, some towards the beginning, but very few in the middle). In down trends, it has been more evenly balanced - still more towards the end, but quite a few in beginning and the middle. Not sure if that answered your question (but I hope it did).

RE is the bull trend an appropriate reference? - that would be for the reader to decide. Based on the cutoffs that the study used, this current leg up would technically be categorized as a "bull market" (20% off the low), but it just barely made the cut and I think it would be perfectly reasonable to lean towards the bull market column.

P.S. you're a frequent constructive commenter here at SA (which I appreciate). Feel free in the future to take a look at the post on the actual blog - there is a lot more reader discussion there expanding on ideas and often a question asked at SA has already been treated.

All the best,
michael

Another 'Why History Is Not a Guide' for Today's Trading

RE to Freddyv: I'll have to apologize for SA's title - it was NOT the original from my blog (but the editors here take a lot of liberty in modifying authors' republished works). I agree that history IS a guide. The point of the post was that sometimes the market makes abrupt shifts and we have to be prepared for that as mechanical traders. michael


On Mar 04 12:48 PM freddyv wrote:

> Actually, history is a very good guide but you have to know where
> in history to look. We are now seeing a correction to the excesses
> of the past 2-3 decades and so looking to them for answer, except
> in reverse, perhaps, is foolish.
>
> We are also not in a high (working) population growth, inflationary
> period so the 1970's are also not a good time for comparison.
>
> We are in a deflationary deleveraging and so looking way back to
> the 1930's would be the most likely to offer useful data.

Short-Term Mean-Reversion Becoming Stronger: Wood’s Light Bulb

Wood on SA? What is the world coming to?

Good to see you sir.

Short-Term Mean-Reversion Becoming Stronger: Wood’s Light Bulb

RE to freddyv and PrudentMan:

My standard cut-n-paste to these type of comments:

Your anecdotal shot from the hip is appreciated for what it is...an anecdotal shot from the hip. With all due respect - click through to the blog - checkout the independently-audited real-time returns of our programs (which are in large part built off of these fundamental concepts) and then tell me (preferably empirically or at least thoughtfully) why you've come to the conclusion you have. ms

Using the Commodity Channel Index as a Trading Strategy

Good comment and I think the answer is definitely "yes".

I've been discussing this a bit over at the actual blog (which unfortunately SA readers don't see) - but in a nutshell, the strategies I actually trade rely on short-term indicators (contrarian), intermediate-term indicators like this one (also usually contrarian, but beginning to introduce some momentum-driven), and long-term (trend-following). I think trading based on all three timeframes is a powerful concept.

michael

On Jan 21 10:47 AM John Lounsbury wrote:

> An eyeball assessment indicates that the major benefit of this strategy
> occurs in times of protracted market declines. At other times (most
> of the time), when the market is advancing, it appears to be no better
> than buy and hold, and, at times, underperform.
>
> This raises the question: Could this strategy be paired with another
> indicator to use this process only in times of sustained market decline?

The Moving Average Spectrum - Part 2

Oldfox - Your anecdotal shot from the hip is appreciated for what it is...an anecdotal shot from the hip. With all due respect - click through to the blog - checkout the independently-audited real-time returns of our programs (which are in large part built off of these fundamental concepts) and then tell me (preferably empirically or at least thoughtfully) how this is a garbage idea. ms

Testing the S&P 500 vs. OEX Put/Call Strategy

RE to The Whole Picture:

Unfortunately no, the CBOE P/C ratio is very different (includes a lot of options activity outside of the S&P 500). When I had originally done some work on the CBOE ratio a few months back I had concluded it was pretty much junk for the S&P 500, so I was a little surprised to find this nugget on the OEX ratio. Good question. michael

Testing the RSI(2) Strategy

RE to John: Michael here from the MarketSci Blog. I'm just getting up to speed on Seeking Alpha comments (my posts are automatically published here). I noticed that you had left a number of positive comments on some of my posts and I just wanted to drop a note of thanks. Always good to hear from readers are getting something positive out of all of it. Happy Trading!

Investor Clubs vs. Individual Investors: Is There a 'Better' Way to Invest?

RE to John: great comment John. I had the same thought, but thought trying to draw a conclusion from an entirely different data set using a different methodology was probably stretching it. Needless to say, I wouldn't want to be in either group. michael

Trading Strategy: Oil Stocks vs. Oil

RE to Simmons: I would wholeheartedly disagree. Visit this link to see the independently-audited real-time results of the system's I'm affiliated with.

marketsci.wordpress.co.../

These are all mechanical and were clearly not the brightest before they failed. michael