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Archive for October, 2012|Monthly archive page

Charts, 2012 – Week 44

In Charts on October 28, 2012 at 2:35 pm

A collection of weekly charts that I am looking at in advance of the 44th week of 2012.

(Also, I added a new page called “Downloads+Research” which I will continue to add things to – see link at top of page)

1. GBPUSD

2. EURGBP

3. GBPCHF

4. USDJPY

More charts below including USDCAD, GBPJPY, GBPCAD, GBPAUD, EURUSD, EURJPY, EURAUD, AUDUSD, AUDJPY, AUDCAD, NZDUSD, Gold and Silver.

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Counter-Trend Trading

In Research on October 27, 2012 at 12:09 pm

I really enjoyed this research report from 361 Capital called “Counter-Trend Trading”, written by Nick Libertini.  A pdf is attached below (please respect the author’s rights as described therein).

The white paper compares short term momentum strategies and counter-trend strategies.  Specifically it references research from The Conners Group on the S&P500 and other equity indices and compares the returns for some short term trend and counter trend strategies from 1990-2011.  I was fascinated by the Noise Statistic and calculations provided that show how “noise” has increased in the last decades.  The report also discusses investing models generally and showed an excellent table of investing models (figure 5 in the paper).

I had a couple of issues with the research, which, if solved, would have made it even better:

1. [Updated to accurately describe the holding periods which was incorrect in an earlier version] The strategies used were 1, 3, 5, and 10 day new high and new low strategies, with a 1-10 day hold period.  These timeframes are so short, and the hold period is so short, they will intuitively favour counter-trend strategies.  The results, indeed, showed that counter-trend strategies lead to higher returns.  However to capture returns from a trend or real momentum, it must be held for longer.  It would have been fascinating to expand the test to include 20, 50, and 100 day new high/low strategies, and to test hold periods across the spectrum (1, 3, 5, 10, 20, 50, 100 day).  This seems like an oversight, and it would have been easy to do since there was 20 years of data to work with.  Without this info, the “comparison” of momentum to counter-trend falls flat, even though the counter-trend stats by themselves are interesting.

(more below)

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Charts, 2012 – Week 43

In Charts on October 21, 2012 at 2:38 pm

A collection of weekly charts that I am looking at in advance of the 43rd week of 2012.

(Also, I updated the book review page – see link at top of page)

1. GBPUSD

2. GBPCHF

3. USDCHF

4. EURJPY

More charts below including USDJPY, USDCAD, GBPJPY, GBPCAD, GBPAUD, EURUSD, EURGBP, AUDUSD, AUDJPY, AUDCAD, Gold and Silver.

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Charts, 2012 – Week 42

In Charts on October 14, 2012 at 3:32 pm

A collection of weekly charts that I am looking at in advance of the 42nd week of 2012.

1. GBPUSD

2. AUDCAD

3. USDCHF

4. GBPCHF

More charts below including USDJPY, USDCAD, GBPJPY, GBPCAD, GBPAUD, EURUSD (weekly/daily), EURGBP, EURJPY, AUDUSD, AUDJPY, Gold and Silver.

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Charts, 2012 – Week 41

In Charts on October 7, 2012 at 7:22 pm

A collection of weekly charts that I am looking at in advance of the 41st week of 2012.

1. GBPUSD

2. EURGBP (chart a)

EURGBP (chart b)

3. AUDCAD

4. Silver

More charts below including USDJPY, USDCAD, USDCHF, GBPJPY, GBPCAD, GBPCHF, GBPAUD, EURUSD, EURJPY, AUDUSD, AUDJPY, and Gold.

Read the rest of this entry »