Short-term Market Modes

Market Research for All
User avatar
progster
Posts: 948
Joined: Thu Jul 26, 2007 7:20 pm
Contact:

Short-term Market Modes

Postby progster » Wed Jun 25, 2008 7:57 pm

Here's one example of what I would call a short-term market mode :

SellFriday_DIA_01.png
Selling Fridays


This is not something that has always worked in the past, nor would we expect it to work forever into the future.

It sure has worked well recently though! :D

Food for Thought ...

User avatar
progster
Posts: 948
Joined: Thu Jul 26, 2007 7:20 pm
Contact:

Re: Short-term Market Modes

Postby progster » Fri Jul 24, 2009 12:04 pm

Here's an equity curve picture that shows a market mode change on a longer term:

NewModeSinceBottom.png
New Mode Since Market Bottom

This curve is for a strategy that trades both long and short.

Notice now the curve goes flat after the November 2008 bottom.

The market has behaved differently since then than it did before then.

When sentiment changes, market dynamics change also.

User avatar
progster
Posts: 948
Joined: Thu Jul 26, 2007 7:20 pm
Contact:

Re: Short-term Market Modes

Postby progster » Sat Sep 26, 2009 3:19 pm

Here's another example, a clear change in behavior for TF in mid-December 2008:

NewModeSinceDec2008_TF.png
Change in mode for TF

Worth noting, IMO, is that the behavior on the left spanned 16 months.
The behavior on the right is now about 9 months old.

Obviously, mode changes are observed in retrospect, and are not detectable immediately upon their beginning. However, modes can persist long after ample evidence of new behavior has accumulated.
Windows of market opportunity routinely open and close.
The successful trader must constantly evaluate and re-evaluate or wind up trying to ride a dead horse.

P.S. Strategies that do well some of the time and tend to break even the rest of the time can be good candidates for inclusion in a multi-strategy portfolio trading campaign.


Return to “Research”

Who is online

Users browsing this forum: No registered users and 1 guest