Scanning a market for support and resistance levels which will most likely not be penetrated in the near future is key for strategies like short options or vertical spreads. This article hows how RSI can be used to solve this problem.
Category: General
Weekend Reading Recommendation
The markets will go up and down, and usually it’s not my business why they do it, I am just interested in making my luck with a position on the right side of the trade.
Backtesting Market Volatility
Backtesting if historical volatility or Kahler’s volatility gives a better prognosis for future volatility. Calculating the average prediction error of these two volatility indicators. Testing for the influence of data points used on the quality of the prediction. Comparing the findings to implied volatility to generate a trade idea.
Demystifying the 200 day average
The 200 day moving average is a classic of technical analysis. but is there any edge or statistical significance in it? How do equity and Forex market differ when it comes to this indicator? See the analysis and the answer to these questions.
Google EOD csv stock price data download
Sometimes my data provider has not got the data I am looking for. Searching for downloadable csv data I recently came across google spreadsheets. It provides an easy way to get historical stock price data. Save it as csv and use it with your Tradesignal.
Money for nothing
We already had a post regarding the mean reverting tendency of Volatility, now it`s time to make some money using this information.
Seasonal trouble ahead
Seasonal Projection and Volatility prognosis for german DAX. Trouble ahead…
KVOL Volatility part 2
How to calculate volatility based on the expected return of a straddle strategy has been shown in part 1 of fair bet volatility KVOL. Using and Displaying K-Volatility: KVOL uses the given amount of historic returns to calculate an expected value of an at the money put and call option. The sum of these prices are… Continue reading KVOL Volatility part 2
Statistics of VIX
This article is about the statistics of VIX. What determines if it is better to sell or to buy volatility. Some simple statistics can provide the answer and also show the dangers of this kind of volatility trade.
Kahler’s fair bet volatility
Volatility is a measure of risk. It describes how far a commodity will most probably move within a given period of time. The most common measure for volatility is historical volatility. But I do not like the complicated formula for standard deviation. There has to be a better way to explain and calculate volatility…. Implied… Continue reading Kahler’s fair bet volatility
A graphical approach to indicator testing
Scatter charts are a great tool to test the prognosis quality of your indicators. A visual approach on indicator quality can help you to get rid of curve fitting when using classical or machine learning trading strategies.
Using Autocorrelation for phase detection
Autocorrelation is the correlation of the market with a delayed copy of itself. Usually calculated for a one day time-shift, it is a valuable indicator of the trendiness of the market. If today is up and tomorrow is also up this would constitute a positive autocorrelation. If tomorrows market move is always in the opposite… Continue reading Using Autocorrelation for phase detection
Ranking: percent performance and volatility
When ranking a market analysts usually pick the percent performance since a given date as their key figure. If a stock has been at 100 last year and trades at 150 today, percent performance would show you a 50% gain (A). If another stock would only give a 30% gain (B), most people now would… Continue reading Ranking: percent performance and volatility
NASDAQ 100 long term candlestick scanner
A short update on the long term Candlestick Scanner. The Candlestick Scanner scans the Nasdaq 100 stocks for long term bullish or bearish reversal patterns. The basic idea is to search for hammer and hanging man candlestick patterns. Usually these patterns work nicely on daily charts. My Candlestick Scanner searches for these two patterns on… Continue reading NASDAQ 100 long term candlestick scanner
Sutton’s law: Go where the money is
There is an apocryphal story about the famous american bank robber and jail breaker William Sutton being asked why he was robbing banks. His genius answer was “That`s where the money is”. There is a second famous quote of William Sutton, asked why he used a machine gun for robbing a bank: “You can’t rob… Continue reading Sutton’s law: Go where the money is
Monthly Seasonal Performance of Stocks
Seasonality changes over time! First have a look at a screenshot of one of my favorite website investopedia.com They have some nice articles about the seasonal performance of stocks and the effects in trading. But unfortunately the information is not precise, and therefore misleading. The chart shown suggests that the average return for the S&P500… Continue reading Monthly Seasonal Performance of Stocks
Bitcoin – end of the bullish bubble
Bitcoin has come a long way but now it is time to say good bye. Being a trend following trader on the long side, the chart right now suggest anything else but a trend following long strategy. It might all look completely different in a few weeks or months, but right now the bitcoin market… Continue reading Bitcoin – end of the bullish bubble
The rhythm of the market
Usually we chart the market at it’s absolute level. But what, if we would just chart the net daily, weekly, monthly movement? Would this be an advantage? Would this show us new trading opportunities? The short answer is: Yes! The trend is not everything, and it seems to be of some significance for further movements,… Continue reading The rhythm of the market
STA – Society of Technical Analysts
I am happy to announce that Trevor Neil will be presenting my “VIX Timing for SP500” at the next STA meeting in London. https://www.sta-uk.org/resources/meetings-events/ I wrote the strategy for the IFTA conference in Tokyo and published it on this site It performed well, and now it is on Trevor to use it for educational purposes… Continue reading STA – Society of Technical Analysts
Swing Trading Indikator
Swing Trading, Lokale Hoch- und Tiefpunkte, Marktvolatilität, selbst adjustierender Indikator