BarrosMetrics Views: Quant Studies
I subscribe to two excellent publications that provide quant studies:
- Quantifiable Edges (Rob Hanna) and
- Sentiment Trader (Jason Gopfert)
Now I don’t trade off quant studies; my personality is such that I am unwilling to trade a pattern just because a computer has found a pattern. But that doesn’t mean that I ignore excellent work.I read what the authors have to say and look to find the best way to use the ideas in my trading. The best use I find is when the studies differ from my own scenarios.
For example, Rob Hanna wrote an excellent book on the patterns around FED Day (Guide to FED Day, US$25.00). He found that a close in the top quartile by the S&P the day before FOMC day produces the least edge. Now we had that close yesterday. Get a copy of the book to find out what type of day has produced the greatest edge.
As for Jason……
In today’s study, Jason considered the situation where “90% up volume day when the S&P had set at least a two-month low sometime during the past week, but at no point had it closed below the 200-day moving average while setting that low”.
For the short term Jason found: The very short-term (less than 5 days) was pretty weak
Jason also considered the longer term but you’ll have to read his newsletter for that.
Usual disclaimer guys and gals: I receive no benefit for mentioning either publication. I am merely passing on what I have found to be great publications.
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