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Quant Stuff

by MoleOctober 19, 2011

Follow Through Days (FTDs) have been an interesting topic over the years. I (volar) have not personally ran too much data on them. However, Quantifiable Edges certainly has done much. Please read THIS. Mad props to one person who runs more data than me….

So how bearish are you? To me it looks like there is an edge in following the trend. Consider that the max win/loss ratio is about 10 days from now…

I obviously have done much on seasonality. Here is a nice piece from Jason at SentimenTrader. Hats off to another place that runs more data than me….

I wonder what will happen?

Now on to Volar’s mix. Here is the VXO (SP100 ATM 1M IV Index) consecutive trading days above 25.

Clearly unless we are in the DEPTHS of a bear market, 50 days above 25 is utterly bullish. If you bot the S&P every single day above 50 you would have a 70% profitable trade 100 trading days later. A max loss of 20%, max gain of 46%. Only 3% had a return of less than -10% and there is a 42% chance that the market gives you >10% (100 days from 2 days ago).

Moreover, if you take those trades during the month of October you are looking at the lows of… 91,98,02. Does 98 sound familiar? Check here.

Finally, I leave you with the 4 year presidential cycle momentum index. This is the bear years less bull years.

The market may dip and dab, but the trend is obvious to me…

Best of luck, unbiased trading,

-Volar


About The Author
Mole
Mole created Evil Speculator amidst the chaos of the financial crisis in early August of 2008. His vision for Evil Speculator is a refuge of reason, hands-on trading knowledge, and inspiration for traders of all ages and stripes. You can follow him and his nefarious schemes at various social media waterholes below.
  • http://evilspeculator.com molecool

    Oh shit – you just posted? Bad timing mate – don’t you know this is my time?

    What to do – what to do??

  • nyse

    Do you guys plan this? Every time Volar posts, Mole posts right over him!!! 😉

  • volar

    LOL no… does not bother me tho… half my post is other people’s work 

  • http://evilspeculator.com molecool

    It was an ‘accident’!

  • Anonymous
  • http://evilspeculator.com molecool

    Mmmmh – I wonder how difficult it would be to create an alert system for stuff like this…. You know – FTD days. I am already working on a TrendDay alert as you know… did a bunch of coding last night.

  • Anonymous

    nice post Volar.

  • jigdaddy

    would you be able to code divergences?

  • jigdaddy

    what i mean is arrows or some indicator pointing out divergences?

  • http://evilspeculator.com molecool

    I can code anything.