Welcome to QuantHead!

Welcome to QuantHead! I hope you find some interesting ideas here that I've encountered on my journey of learning and share your wisdom with me. Enjoy!

Thursday, April 30, 2015

May 2015 Allocations




Here's a review of 2015 so far; two of the monthly rotation strategies are currently outperforming the U.S. stock market, and two are lagging.

January-April 2015 cumulative returns
1. MC GMR: +7.5%
2. Simple GMR: +2.7%
3. Buy and hold S&P 500: +1.9%
4. GTCR: -0.6%
5. Modified Dual Momentum: -1.62%

Happy May Day!

Tuesday, April 28, 2015

Advance/Decline Cumulative Average

I've created a new dynamic, automatically updating spreadsheet for following the NYSE Advance Decline Cumulative Average. It's essentially the same as the TOS study I shared in my very first post, but the data now extends all the way into the 1960's. A word of warning; because of the massive data-pull (daily data for approx. 50 years), the spreadsheet easily takes a couple of minutes to load, even with a fast internet connection.

The study draws a line that is the running sum of the daily percent change of the advancing issues compared to declining issues, and another line that is a 252 day moving average (the typical number of trading days over one calendar year).

The study isn't a holy grail by any means, but can give early warning signs as well as early recovery signs, either by the signal line crossing over the moving average (which worked well signaling the beginning and end of the 2008 bear market) or by negative and positive divergences (e.g. during the period of 1998-2003).

In addition to the chart with the AD lines, I've included a chart with the S&P 500 index for comparison purposes.



QH AdvDecCumAvg Spreadsheet