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June 22, 2017

June And Annual Seasonality

One of my readers who goes by the callsign of ‘captainboom’ yesterday in passing mentioned that the week before the 4th of July was traditionally a bullish month, which of course peaked my interest. I used to work with a very talented statistician a few years ago going by Volar who among other things regularly posted very compelling seasonal analysis. I’m in the process of recreating some of that work in Quantopian but until then I think a glance of some of Volar’s general seasonal stats over the past fifty years should suffice.

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June 21, 2017

Shorting Daylight

The longest day of the year has arrived but most of Europe has already been sizzling for the past few weeks. Down here in Spain we regularly have been touching the 35 Celsius scale which is about 95 Fahrenheit for all you metricphobic North Americans. Although I love to bitch about the cold during the winter what really irks me the most is the insufferable summer heat here in Valencia which unfortunately comes with a ton of humidity  – we’re talking 80% plus at times. Which is quite different from the dry desert like heat I had gotten accustomed to living in California for about 20 years.

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June 19, 2017

Volume Holes

Equities continue to be a mixed bag and while simple price tells one part of the story the volume profile also shows us the ranges where we should expect buying and selling pressure. Of course bear in mind that the volume profile is based on historical context and for a true perspective we would need to acquire fairly costly Level 2 access and then evaluate the offering and bidding lots. For the average retail rat Level 2 access is however way outside the budget so I guess volume holes it is.

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June 16, 2017

Divergent Indices

Yesterday I touched on the increasing intra-day volatility we have been seeing lately, particularly in equities. Momentum and breadth indicators are still pointing upward, however a few early warning lights have started glowing and thus we should take note. But that only tells part of the story, what I find most disconcerting right now are very pronounced divergences between our three major equity indices.

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Cognitive Bias Carousel
  • Herding BiasHerding Bias
    Something very interesting happened during our trip back to Valencia last Sunday. After checking our luggage and passing through the airport’s security procedures we had a … more
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