BarroMetrics Views: Quant Studies
As a visual, discretionary trader, quant studies are not my forte. But that doesn’t mean I can’t outsource the expertise. I have found Rob Hanna’s Quantifiable Edges to be by far the best (at least so far as I am concerned). His blog is well worth reading. (My link will take you there).
Another source is Sentiment Trader, and again a good source of quant studies. (My link will take you to the back issues)
I should not be taken to be saying that just because a site publishes quant studies, it is a source of robust information. One site that has proven a disappointment is Market History. It’s a site that conceptually ought to produce robust quant information but the results I obtained are no better than random. I stress that the random results are ‘my use’; other traders may obtain different results.
I am not sure what causes the difference in results. Perhaps it’s the questions that are posed to the data base.
We currently have an interesting comparison.
Market History posed this question: “Since 1980, what is the historical performance for SPX after the Dow prints a 3-day percentage gain of 2.25% or more, the Transports 3.5% or more, Treasury Bond futures down 0.75% or more, all with the Dow within 2.5% of its highest close within the last two years?”
The answer was bearish: a target of 1315 to 1316 by July 19.
Sentiment Trader recently had this to say about the S&P rally to last week: “Stocks rallied strongly yet again on Friday, pushing the indexes into rarefied historical air. This is only the 10th time in the history of the benchmark S&P index (dating back to 1928) that it gained at least +0.75% for five straight days.”
It concluded that while bearish in the next 1 -3 days, buying weakness in the 1-3 day period would probably produce positive returns in the next two weeks.
You could not ask for a better head-to-head comparison. If my records are to serve as a guide, Sentiment Trader will prove to be the better bet. Let’s see if history will prove kind to my conclusion.
Refer this blog post to a friend or colleague…
