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david varadi | CSSA

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New concepts in quantitative research. Posts by david varadi. February 29, 2016. Book Review: Adaptive Asset Allocation. February 23, 2016. Volatility Futures and S&P500 Performance. September 4, 2015. Investors Should Tread Lightly. July 16, 2015. The Observation Model is the Best Defense. July 3, 2015. The Greek Domino Effect. June 25, 2015. Think MPT Doesn’t Work? Clearing Up Some Misconceptions. May 9, 2015. Real Momentum: A Longer-Term Backtest. Laquo; Older Entries. Follow Blog via Email.

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Quantifiable Edges: February 2013

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Assessing Market Action With Indicators And History. Wednesday, February 27, 2013. The Quantifiable Edges Study of Tops. A while back I did a study of major market tops for Quantifiable Edges Gold. The Study of Tops can now be purchased on the Quantifiable Edges website for $5.99. If you purchase a Quantifiable Edges subscription within two weeks of your Study of Tops purchase, your $5.99 will be refunded. Lastly, I also included a coupon (good through March 31) for a free trial of any Overnight Edges.

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Minimum Variance Algorithm Comparison Snapshot | CSSA

https://cssanalytics.wordpress.com/2013/04/19/minimum-variance-algorithm-comparison-snapshot

New concepts in quantitative research. Minimum Variance Algorithm Comparison Snapshot. April 19, 2013. The Minimum Variance Algorithm. Was compared to several standard optimization methods and algorithms in a recent set of tests done by Michael Kapler of Systematic Investor. Michael created a webpage for MVA. The following acronyms are defined below. Minimum Variance Algorithm (MVA) in Excel. Minimum Correlation Algorithm (MCA) in Excel. Minimum Correlation Algorithm (MCA)– Whitepaper/R Version. You are ...

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Quantifiable Edges: Father's Day Fun With Pairs & ETF's Rewind's Tools

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Assessing Market Action With Indicators And History. Monday, June 22, 2009. Father's Day Fun With Pairs and ETF's Rewind's Tools. We spent Father’s Day at my in-laws. My father-in-law actively trades and a lot of what he does is pairs trading. He’s been getting more involved with pairs lately and comes up with some crazy ones. He does some testing on the computer but a lot of his testing is done “old school” with a pen and paper. So I brought my laptop over armed with Jeff Pietsch’s ETF Rewind tool.

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Quantifiable Edges: January 2014

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Assessing Market Action With Indicators And History. Monday, January 13, 2014. Check Out The New Quantifiable Edges! Quantifiable Edges has undergone a complete site overhaul! Part of that overhaul included moving the blog. New posts can be found at the address below:. Additionally, I'd like to invite everyone to explore the new site and take a free trial of our Gold Subscriber Service. Quantifiable Edges Email List. RSS Feed - http:/ feeds.feedburner.com/quantifiableedges/blog. Posted by Rob Hanna.

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Quantifiable Edges: August 2013

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Assessing Market Action With Indicators And History. Friday, August 30, 2013. An Updated Look At The Friday Before Labor Day. The Friday before Labor Day has long been a strong seasonal day for the market. The study below is one I also showed last year. The stats table based on buying the Thursday before Labor Day and selling the close on Friday. Posted by Rob Hanna. Links to this post. Thursday, August 29, 2013. A Simple Look At Bounces From 20-Day Lows During Long-Term Uptrends. Posted by Rob Hanna.

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Quantifiable Edges: July 2013

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Assessing Market Action With Indicators And History. Tuesday, July 23, 2013. The 3-Day Pattern That Suggests A Bearish Edge For Today. The last 3 days have created an interesting setup. Thursday SPY made a new 50-day closing high. Friday SPY posted an inside day. And then Monday was another 50-day closing high. This has only happened 16 other times since 1999. Below is a list of all the instances along with their performance the next day. Posted by Rob Hanna. Links to this post. Friday, July 19, 2013.

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Quantifiable Edges: May 2013

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Assessing Market Action With Indicators And History. Thursday, May 30, 2013. Recent Closing TICK Action and The Oscillator Strongly Suggesting A Quick Bounce. One indicator now providing some extreme readings that are typically followed by bounce is the TICK Tomoscillator. The TICK Tomoscillator is the brain child of my friend and fellow market analyst, Tom McClellan of McClellan Financial Publications ( click for Tom’s article on the indicator. While instances are a little low we see what appears to be ...

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Quantifiable Edges: Should You Quit Trading Early Today?

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Assessing Market Action With Indicators And History. Tuesday, December 31, 2013. Should You Quit Trading Early Today? The table below is from a study I showed in last night’s subscriber letter. It shows how SPY has performed every year, during the last 15 minutes of trading for the year. On average SPY has lost 0.25% in the last 15 minutes of trading. And if you just look at the losers, the average loss was 0.345%. Last year was the 1 big up year (excitement over avoiding the Fiscal Cliff? In this blog I...