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2012 Wishes 28 Dec 2011 | 11:36 pm
As we look to 2011 through the rear view mirror, I make a quick divergence from my recent lethargy to send my best wishes for 2012 to all readers. May 2012 be a trading year filled with opportunities ...
Ensemble Building 101 2 Jul 2011 | 03:01 pm
In continuation with last post, I will be looking at building a robust ensemble for the S&P 500 ETF and mini-sized future. The goal here will be to set-up a nice framework that will be (hopefully) of ...
One Size Does Not Fit All 25 Apr 2011 | 09:58 am
In our eternal search for the trading Holy Grail it is often tempting to try and find the “ultimate” signal (indicator) and apply it to as many instruments we can. This single solution approach for th...
Update, Milestone, and Unfinished Business 6 Apr 2011 | 12:48 am
Update First of all let me apologize for being off the grid for so long and not providing you with any of my geek prose recently. My final university semester classes are coming to an end today and I...
Model Scalability 16 Feb 2011 | 07:14 am
When designing a model, an aspect that I often overlook is scalability. First a definition from Investopedia: “A characteristic of a system, model or function that describes its capability to cope and...
S&P 500 Sectors Analysis 30 Jan 2011 | 09:08 am
To follow up with last post, and also nicely tying into Engineering Returns’ recent sector rotational system I will show a factor decomposition of the S&P 500 from different sectors. In essence, you c...
Predictor(s)/Factor(s) Selection 10 Jan 2011 | 01:28 pm
Before getting in the post main subject, I want to mention a couple things. First, the TAA system talked about before on the blog is still in the works, a busy schedule and work commitment made it dif...
Season’s Greetings 24 Dec 2010 | 04:06 am
During this holiday period, I want to thank you all very much for the support you have showed this nascent blog in 2010. The good discussions I have had with reader in the comment section or via email...
Market Rewind’s Sentiment Spreads Remix 21 Dec 2010 | 08:26 am
In this post, I want to build on a good discussion in the comment section of this post: An Intermarket Ensemble Model for the S&P500 Using Market Rewind’s “Sentiment Spreads”. One of ETF Prophet’s con...
Market Rewind’s Sentiment Spreads Remix 21 Dec 2010 | 03:26 am
In this post, I want to build on a good discussion in the comment section of this post: An Intermarket Ensemble Model for the S&P500 Using Market Rewind’s “Sentiment Spreads”. One of ETF Prophet’s con...
