Technical Trading

…evidence indicates that success of high-frequency trading of paired stocks likely depends critically on minimizing trading friction, balancing trading friction and trigger sensitivity and reacting quickly to triggers, and perhaps on being especially alert during the first hour of trading.

…evidence from simple tests on available data generally does not support a belief that the McClellan Oscillator or the McClellan Summation Index usefully predict stock returns at either fixed or signaled future horizons.

…investors may be able to identify stocks inclined to outperform and underperform over the long term based on the degree to which their short-term returns track market and industry returns.

…given the short sample period and modest cumulative return increment, evidence from simple tests does not support a belief that, over the long run, shorting sector ETF momentum losers beats cash while the S&P 500 Index is below its 10-month simple moving average.

…evidence from simple tests suggest that the U.S. stock market exhibits a slight degree of systematic reversion over short intervals (one to five days), but the effect is small compared to associated return variability and therefore risky to trade.

…evidence indicates that investors may be able to exploit consistency of past stock performance, independently of widely used momentum measures, via continuation over the intermediate term and reversal over the long term.

…evidence indicates that investors may be able to exploit a systematic relationship between the price impact of trading as measured by the return-to-turnover ratio and future stock returns.

…investors may be able to use simple trend-following rules to enhance returns from a strategy designed to capture a combination of the equity risk premium from stocks and the volatility risk premium from short options.

…without more convincing validation of the performance/trade data offered, curious investors may want to track live trading signals at Long-Short-Timing.com for themselves over a reasonably long period to assess their economic value.

…evidence from simple tests mostly does not support a belief that extreme U.S. stock market up days reliably portend subsequent market weakness.

…large investors may be able to exploit short-term reversals in individual stock returns by focusing on large capitalization stocks and rebalancing based on return analysis rather than fixed interval.

…evidence from simple tests indicates that a 10-month SMA outperforms 40-week and 200-day SMAs under reasonably realistic trading assumptions for the broad value-weighted U.S. equity market over the past 17 years, but the source of outperformance may be luck.

…evidence from simple tests does not support a belief that equity markets react reliably after up or down streaks in closing levels.

…evidence from tests on a modest sample of bubbles/anti-bubbles indicates that complex technical analysis of financial markets may offer investors some edge in timing some market extremes.

…evidence from simple tests indicates that the momentum anomaly is substantial and persistent over long periods for industries/asset classes on a gross return basis.