Michael S

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

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

Answering Readers' Questions: Shorting the 5-10-20 Trading Strategy

RE to MILESCFA: there are no transaction costs or slippage because these are not intraday traded vehicle. They are mutual funds that (a) are leveraged and (b) do not penalize the trader for active trading. These are the only vehicles I trade. That's not to say that I think other vehicles are inferior, but they work well with my swing trading style. michael

Testing the 5-10-20 Trend-Following Strategy

Good comments Roger. My response would be that the strategy could be applied very simply with no transaction costs using leveraged funds from ProFunds, Rydex, or Direxion (those are the only vehicles I trade).

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.