Michael S's Comments RSS Syndication from SeekingAlpha.com http://seekingalpha.comuser/239541/comments http://seekingalpha.com/article/153818-timing-a-strategy-using-mean-reversion-a-critique?source=feed#comment-623257 623257 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]]> Mon, 10 Aug 2009 11:19:22 -0400 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]]> http://seekingalpha.com/article/151412-9-market-extreme-days?source=feed#comment-604604 604604
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.]]> Tue, 28 Jul 2009 04:32:04 -0400
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.]]> http://seekingalpha.com/article/143103-leveraged-etfs-not-pushing-the-indices-to-extremes-often?source=feed#comment-547027 547027
Thanks in advance,
Michael Stokes
MarketSci]]> Mon, 15 Jun 2009 09:59:26 -0400
Thanks in advance,
Michael Stokes
MarketSci]]> http://seekingalpha.com/article/132689-defining-the-mcclellan-oscillator-part-ii?source=feed#comment-476276 476276
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]]> Fri, 24 Apr 2009 15:17:28 -0400
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]]> http://seekingalpha.com/article/127967-the-velocity-at-which-markets-rise-and-fall?source=feed#comment-441098 441098 Thu, 26 Mar 2009 11:51:08 -0400 http://seekingalpha.com/article/127740-about-big-up-down-days-within-bearish-bullish-cycles?source=feed#comment-440581 440581
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]]> Thu, 26 Mar 2009 03:41:40 -0400
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]]> http://seekingalpha.com/article/123998-another-why-history-is-not-a-guide-for-today-s-trading?source=feed#comment-413183 413183

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.]]> Wed, 04 Mar 2009 15:25:45 -0500

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.]]> http://seekingalpha.com/article/120756-short-term-mean-reversion-becoming-stronger-wood-8217-s-light-bulb?source=feed#comment-400960 400960
Good to see you sir.]]> Tue, 24 Feb 2009 02:43:43 -0500
Good to see you sir.]]> http://seekingalpha.com/article/120756-short-term-mean-reversion-becoming-stronger-wood-8217-s-light-bulb?source=feed#comment-392100 392100
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]]> Tue, 17 Feb 2009 11:28:49 -0500
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]]> http://seekingalpha.com/article/115476-using-the-commodity-channel-index-as-a-trading-strategy?source=feed#comment-363115 363115
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?]]> Thu, 22 Jan 2009 12:18:28 -0500
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?]]> http://seekingalpha.com/article/115324-the-moving-average-spectrum-part-2?source=feed#comment-359828 359828 Mon, 19 Jan 2009 10:44:48 -0500 http://seekingalpha.com/article/109526-testing-the-s-p-500-vs-oex-put-call-strategy?source=feed#comment-348844 348844
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]]> Wed, 07 Jan 2009 13:36:02 -0500
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]]> http://seekingalpha.com/article/110046-testing-the-rsi-2-strategy?source=feed#comment-348833 348833 Wed, 07 Jan 2009 13:32:30 -0500 http://seekingalpha.com/article/112381-investor-clubs-vs-individual-investors-is-there-a-better-way-to-invest?source=feed#comment-348810 348810 Wed, 07 Jan 2009 13:15:06 -0500 http://seekingalpha.com/article/112448-trading-strategy-oil-stocks-vs-oil?source=feed#comment-348809 348809
marketsci.wordpress.co.../

These are all mechanical and were clearly not the brightest before they failed. michael]]> Wed, 07 Jan 2009 13:13:37 -0500
marketsci.wordpress.co.../

These are all mechanical and were clearly not the brightest before they failed. michael]]> http://seekingalpha.com/article/109178-answering-readers-questions-shorting-the-5-10-20-trading-strategy?source=feed#comment-348805 348805 Wed, 07 Jan 2009 13:11:29 -0500 http://seekingalpha.com/article/113210-reader-s-comment-oil-stocks-vs-oil-trading-strategy?source=feed#comment-348801 348801 Wed, 07 Jan 2009 13:09:16 -0500 http://seekingalpha.com/article/113210-reader-s-comment-oil-stocks-vs-oil-trading-strategy?source=feed#comment-348794 348794
Because I hate snake oil salesmen and touts I should say that all of our programs are independently-audited by at least one third party, and that we are not unique - I think that there are a number of good programs that are doing very well in these markets.

michael]]> Wed, 07 Jan 2009 13:06:19 -0500
Because I hate snake oil salesmen and touts I should say that all of our programs are independently-audited by at least one third party, and that we are not unique - I think that there are a number of good programs that are doing very well in these markets.

michael]]> http://seekingalpha.com/article/113210-reader-s-comment-oil-stocks-vs-oil-trading-strategy?source=feed#comment-348788 348788 Wed, 07 Jan 2009 13:02:49 -0500 http://seekingalpha.com/article/108708-testing-the-5-10-20-trend-following-strategy?source=feed#comment-318837 318837
Of course, it would be a tiny bit more difficult because you would have to know prior to the fund's cutoff time the closing price (and hence the direction to be taken at the close), but with a little bit of mathematical horsepower this wouldn't be too difficult to get right about 99% of the time.

Just some random thoughts.

Michael


On Dec 02 06:46 AM Roger Knights wrote:

> Too bad no fund has been modest enough to let such a formula do its
> work.
>
> Say, maybe some clever, out-of-work hedgie will offer an ETF that
> trades the market (shorting optional) using this formula plus "Sell
> in May, buy after Halloween." It would be more attractive to many
> potential investors, including some institutions, than a simple index
> fund. Expenses and headaches should be low, and the administrator
> could do well by doing good.]]> Tue, 02 Dec 2008 10:21:24 -0500
Of course, it would be a tiny bit more difficult because you would have to know prior to the fund's cutoff time the closing price (and hence the direction to be taken at the close), but with a little bit of mathematical horsepower this wouldn't be too difficult to get right about 99% of the time.

Just some random thoughts.

Michael


On Dec 02 06:46 AM Roger Knights wrote:

> Too bad no fund has been modest enough to let such a formula do its
> work.
>
> Say, maybe some clever, out-of-work hedgie will offer an ETF that
> trades the market (shorting optional) using this formula plus "Sell
> in May, buy after Halloween." It would be more attractive to many
> potential investors, including some institutions, than a simple index
> fund. Expenses and headaches should be low, and the administrator
> could do well by doing good.]]> http://seekingalpha.com/article/91778-the-markets-are-nocturnal-daytime-vs-overnight-performance?source=feed#comment-240539 240539 Wed, 27 Aug 2008 21:17:16 -0400 http://seekingalpha.com/article/89433-holding-positions-over-the-weekend-debunking-the-monday-myth?source=feed#comment-224648 224648
I definitely agree with your statement that most price action occurs when the markets are closed (I think I'm interpreting that statement the same way you are).

Here's a little research showing market performance in daytime vs the overnight markets. In a nutshell, the bullish trend over the last 15 years has been the result of the overnight (not the daytime) market.

marketsci.wordpress.co.../

Also present in gold too...

marketsci.wordpress.co.../

Enjoy.

michael]]> Thu, 07 Aug 2008 00:35:58 -0400
I definitely agree with your statement that most price action occurs when the markets are closed (I think I'm interpreting that statement the same way you are).

Here's a little research showing market performance in daytime vs the overnight markets. In a nutshell, the bullish trend over the last 15 years has been the result of the overnight (not the daytime) market.

marketsci.wordpress.co.../

Also present in gold too...

marketsci.wordpress.co.../

Enjoy.

michael]]>