Consecutive Up or Down Days, NASDAQ 100 Edition
Just a short post today. Jack Damn has been tweeting about consecutive up/down days lately, which inspired me to go looking for a potential edge. The NASDAQ 100 has posted 6 consecutive up days as of yesterday’s close. Is this a signal…
Using Factor Momentum to Optimize GTAA Portfolios
Taking another look at portfolio optimization methods as they apply to relative strength- & momentum-based GTAA portfolios, this time I present a novel method that uses factor momentum in an attempt to tilt the allocation towards the factors behind the…
Closing Price in Relation to the Day’s Range, and Equity Index Mean Reversion
The location of the closing price within the day’s range is a surprisingly powerful predictor of next-day returns for equity indices. The closing price in relation to the day’s range (or CRTDR [UPDATE: as reader Jan mentioned in the comments, there…
Recent Comments