How Oversold is Enough? Investigations Into the % Above 50dma Indicator (Late edition to this weekend’s list)
Position Sizing Using the Kelly Growth Criterion
More on Using VXO to Time the S&P 500
Short Selling Bans Generally Don’t Work
Positive 1st 5 Days & Santa Rally $SPY Up 32/37 Full Years Avg. 13.5%
You can find some of these stories and more over at The Whole Street Quants.
Hey Woodshedder,
Wanted to tell you I started doing my own investigations into using the breadth indicators. You can check out my version of your event studies on my blog: http://ennlightenment.com/2013/01/how-oversold-is-enough-investigations-into-the-%above50dma-indicator/
I couldn’t find your email on the site to send this to you personally.
Cheers,
Enn
Enn, nice work! I’ve added your article to this weekend’s reading list.
You can email me woodshedder73 at gmail.
Interesting you mention the Kelly criterion as it has come up several times for me in the past few weeks. I disagree with his methodology regarding drawdowns – they are a function of the particular past we experienced and the unpredictable future we will see, and are not something that can be controlled. Loss per trade can be controlled via strategy and that is what is important.
The shocking corollary to the Kelly criterion is if you don’t have big drawdowns now and then you are probably underinvested… For buy and hold investors you would need to be heavily leveraged long.
Thanks for the link, Enn.