Download
Article

• Linear Regression Of Price And Time, Part 3

  ARTICLE SYNOPSIS ...The relationship between individual security (or portfolio) performance and volatility is critical and is constantly changing over time. Here, we introduce a new measuring tool so you can monitor this changing relationship. It indicates when a given portfolio holding is exhibiting deteriorating risk-adjusted performance, which may suggest it as a potential candidate for sale...

AUTHOR: Mike B. SirokyDATE: MAR 2022SUBJECT: Quantitative Analysis

Download
Article

• Why Volatility Matters

  ARTICLE SYNOPSIS ...Does high volatility translate to big profits, or only to increased risk that in the end lowers profits? Here's a careful look...

AUTHOR: Mike B. SirokyDATE: JAN 2022SUBJECT: Quantitative Analysis

Download
Article

• Linear Regression Of Price And Time, Part 4: Logistic Asset Allocation

  ARTICLE SYNOPSIS ...Effective asset allocation design will recognize not only how much is allocated to various assets, but also, which assets are performing the best. Toward this goal, the "logistic portfolio" is introduced here, which is a dynamic allocation model based on near-term estimates of risk-adjusted returns, rather than on long-term expected returns or expected volatilities. Find out how to implement...

AUTHOR: Mike B. SirokyDATE: AUG 2022SUBJECT: Quantitative Analysis

Download
Article

• Linear Regression Of Price And Time Part 1: Three Basic Tools

  ARTICLE SYNOPSIS ...The concept of using a regression line to define price trend takes a big step forward here by introducing three powerful tools you can calculate in Excel. With these tools, you can accurately measure performance, minimize risk, and compare the strength of stocks and ETFs. Find out what these tools are...

AUTHOR: Mike B. SirokyDATE: SEP 2021SUBJECT: Quantitative Analysis

Download
Article

• Linear Regression Of Price And Time Part 2: The Regression Adaptive Moving Average (RAMA)

  ARTICLE SYNOPSIS ...Here's a novel approach to the problem of incorporating changing market volatility into a moving average...

AUTHOR: Mike B. SirokyDATE: OCT 2021SUBJECT: Quantitative Analysis

Download
Article

• The Trader's Dilemma: Dealing With Zones Of Uncertainty

  ARTICLE SYNOPSIS ...Using the statistical concepts of sample size and population, we offer a better way to filter out whipsaws in a trend-following system based on moving averages...

AUTHOR: Mike B. SirokyDATE: MAY 2021SUBJECT: Quantitative Analysis

Download
Article

• Dynamic Support And Resistance

  ARTICLE SYNOPSIS ...Here's how you can use the principles of random walk theory to develop volatility-based dynamic support and resistance lines that can be useful in either oscillating or trending markets...

AUTHOR: Mike B. SirokyDATE: FEB 2021SUBJECT: Quantitative Analysis

Download
Article

• Trend Direction And Probability: The Bull Bear Index

  ARTICLE SYNOPSIS ...Have you ever thought of defining trend in terms of probability rather than in terms of momentum? Here's a different way to think of trend...

AUTHOR: Mike B. SirokyDATE: NOV 2020SUBJECT: Indicators

Download
Article

• Normalized Slope As A Measure Of Trend

  ARTICLE SYNOPSIS ...Here is a sophisticated tool you can use to not only identify trends but also to help measure their significance. Formulas and functions that you can use in Excel to calculate it are provided for easy implementation...

AUTHOR: Mike B. SirokyDATE: JUN 2020SUBJECT: Quantitative Analysis

Download
Article

• Value At Risk For The Small Investor

  ARTICLE SYNOPSIS ...Protecting your capital and limiting losses is fundamental to trading. But how can you estimate your possible losses for better risk management? Here's a method you can use...

AUTHOR: Mike B. SirokyDATE: OCT 2019SUBJECT: Risk Management

Download
Article

• Volume--Volatility Relationship

  ARTICLE SYNOPSIS ...Volume can tell plenty about what to expect in the market. It may be worth your while to keep an eye on what volume is doing. On its own, it's an all-powerful indicator. Combine it with price movement and time, and you may get a trading edge...

AUTHOR: Mike B. SirokyDATE: FEB 2019SUBJECT: Quantitative Analysis

Download
Article

• Deconstructing Granville's On-Balance Volume

  ARTICLE SYNOPSIS ...What does this classic indicator actually measure, and how? What's the best way to use it? Taking a close look at its components can provide answers...

AUTHOR: Mike B. SirokyDATE: DEC 2019SUBJECT: Classic Indicators

Download
Article

• Measuring Risk With The Normalized Risk Index

  ARTICLE SYNOPSIS ...Risk - there are many ways to measure it, but how effective are they? Here's one measure that is versatile and suitable for just about any type of risk profile...

AUTHOR: Mike B. SirokyDATE: JAN 2018SUBJECT: Risk Management

Download
Article

• Volatility: What's The Best Measure?

  ARTICLE SYNOPSIS ...Volatility has often been measured by standard deviation but there are other ways to look at volatility. Here we look at how true range can be used as a reliable volatility measure...

AUTHOR: Mike B. SirokyDATE: APR 2018SUBJECT: Trading Techniques

Download
Article

• Estimating The Fractal Dimension Of Stock Prices

  ARTICLE SYNOPSIS ...Are markets completely random and unpredictable, or are they partially predictable? Here, we explore how the fractal dimension (or the related Hurst exponent) of a stock or index price series can help answer this question...

AUTHOR: Mike B. SirokyDATE: NOV 2017SUBJECT: Quantitative Analysis

Download
Article

• Gain Probability Index

  ARTICLE SYNOPSIS ...You have to know (or estimate) your probability of gain and your payoff odds before entering a trade, but how do you estimate gain probability and payoff odds? Let's find out...

AUTHOR: Mike B. SirokyDATE: JUN 2017SUBJECT: Money Management

Download
Article

• Wilder's RSI: Extending The Time Horizon

  ARTICLE SYNOPSIS ...The relative strength index (RSI) is a popular indicator among traders, but how do you figure out how many price bars to include in its calculation, or how high is high, or how low is low? Here's one way to do it....

AUTHOR: Mike B. SirokyDATE: MAY 2014SUBJECT: Indicators

Download
Article

• Defining Stock Trends With The RSI

  ARTICLE SYNOPSIS ...The relative strength index (RSI) is considered an indicator to apply when markets are range-bound. But here's one way you can use the RSI to identify intermediate- and long-term trends in the equity markets....

AUTHOR: Mike B. SirokyDATE: JUL 2014SUBJECT: Indicators