Skip to content

Wednesday Reviews

November 11, 2009

This bookworm is taking the day off to spend time on consulting and other important work like the release of the upcoming DV Indicators site. So with no time to sound prolific, here are some good reads from blogs that I frequent. I must confess to having a high degree of respect for all of these gentlemen, often I find their work to have a positive influence on my thinking.  Happy Trading!

Jeff of Market Rewind highlights the importance of tracking sentiment in conjunction with technical analysis–note the “sentiment spreads” are an extremely valuable tool based on my own testing and available on Jeff’s site and REWIND product: http://marketrewind.blogspot.com/2009/11/111009-negative-sentiment.html

A rare examination of the interaction between price persistence and volume in the market is presented in an interesting study by Rob Hanna of Quantifiable Edges: http://quantifiableedges.blogspot.com/2009/09/spy-rising-while-spy-volume-declines.html

Dr. Steenbarger discusses what is in my opinion the single greatest reason traders blow up, and sadly I have seen it personally too many times during my career happen to colleagues and friends : http://traderfeed.blogspot.com/2009/11/eliminating-bias-in-trading.html

Here is an interesting short system graphically depicted by Mr. Woodshedder, it looks conceptually appealing:  http://ibankcoin.com/woodshedderblog/2009/11/11/the-best-short-setups-on-the-interwebs/

Brief article by Jared ofCondor Options underscoring the  importance of tracking volatility and implied volatility and related derivations to projecting possible shifts in market regimes: http://www.condoroptions.com/index.php/market-commentary/volatility-tracker-hiccup-or-hangover/

Just caught this recently, but Bill Luby of VIXand More  has inspired a new indicator idea for me using the ROC with Bollinger Bands on the VIX (more on that at a later date!): http://vixandmore.blogspot.com/2009/11/combining-bollinger-bands-on-rates-of.html

2 Comments leave one →
  1. mike permalink
    November 11, 2009 3:28 pm

    If you had a system that averaged, say, 2 S&P pts per day, what’s the maximum standard deviation of returns you would accept before running it live?

  2. david varadi permalink*
    November 11, 2009 3:34 pm

    that would depend on a lot of factors, the number of inputs in the system and the length of time of the backtest/# of trades are huge factors even with a given standard deviation. even with a significant t-score i wouldn’t accept it with too many system parameter rules and a backtest only in one type of market condition ie bull market or bear market.

    best
    dv

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: