Technical Analysis of STOCKS & COMMODITIES
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Article Archive For Norman J. Brown
DownloadQuantifying Stocks For Nonrandomness
ARTICLE SYNOPSIS ...Sure, a buy & hold strategy is easy to implement, but it gives modest returns. Here's a methodology you can apply that will give you those enhanced returns...
Is Wall Street A Casino?
ARTICLE SYNOPSIS ...Do stocks have a random characteristic similar to a roulette wheel, and can we gain a winning edge by trading equities? Here, we simulate Wall Street stocks on an artificial roulette wheel to find the answer...
The Subtle Aspects Of Expectancy
ARTICLE SYNOPSIS ...What exactly is it, when is it applicable, and when isn't it? Here we remove the confusion surrounding this often-misunderstood term...
Trading Multiple Stocks
ARTICLE SYNOPSIS ...Here's a switching technique that further enhances the annual return associated with ""one rank"" perform...
Combining Persistence With Strength
ARTICLE SYNOPSIS ...Here's a switching technique that combines a stock's persistence and ranking strength to offer enhanced returns compared to buy & hold investing...
Effects Of Volatility On Trading
ARTICLE SYNOPSIS ...Can trading results be similar to those of roulette betting? Find out here....
Parameters Affecting Stock Returns
ARTICLE SYNOPSIS ...When it comes to trading equities, it is believed that to increase returns you need to take on more risk. But is that really true? This statistical study will show you what really affects returns....
Expectancy Risks In Trading
ARTICLE SYNOPSIS ...There are always some unexpected trading profits and associated risks involved with expectancy and with the use of the Kelly criteria for betting. Here's a clarification of two important issues....
Trading Tradeoffs With Risk Vs. Reward by Norman J. Brown
Beta Mutual Funds: Do They Make Cents? by Norman J. Brown
Beta Mutual Funds: Do They Make Cents?
ARTICLE SYNOPSIS ...How well do beta mutual funds work?...
The Effect Of Tilt On Mutual Fund Investing
ARTICLE SYNOPSIS ...Overcome invisible limits and find your own positive tilt....
Sidebar: Runs tests, Z score by Norman J. Brown
A One Rank Screening Technique For Mutual Funds by Norman J. Brown
ARTICLE SYNOPSIS ...Stocks & Commodities V. 23:1 (39-45): A One Rank Screening Technique For Mutual Funds by Norman J. Brown Here's a momentum-following method using three technical analysis tools to help switch your mutual funds. In my earlier articles describing a "One Rank" (OR) switching methodology (see "Related reading"), I emphasized that the switching rate (S/Y or S) was the driving parameter enhancing mutual fund returns and lowering risk. I also showed that S is a direct measure of a fund's persistence and could be used to screen equity type mutual funds for improved OR performance. Unfortunately, mos...
Zigzag And One Rank Compared by Norman J. Brown
ARTICLE SYNOPSIS ...V. 22:6 (24-31): Zigzag And One Rank Compared by Norman J. Brown Try this to switch mutual funds. The zigzag indicator has long been used to pick out the peaks and troughs of the price changes (rate of change, or ROC) of stocks and mutual funds. However, such an indicator typically cannot be used as an investing tool for switching funds. This is because the process of confirming the peaks or troughs with a following trough or peak will introduce excessive delays. OVERCOMING THESE DELAYS These delays can be overcome if you set the zigzag filter level below the smallest ROC of the fund being...
Enhanced Returns With Mutual Funds by Norman J. Brown
ARTICLE SYNOPSIS ...Enhanced Returns With Mutual Funds by Norman J. Brown Is buy and hold the best strategy when it comes to mutual funds? Here's a mutual fund switching technique that uses multiple-fund ranking to improve returns. In my earlier articles, I showed it was possible to switch a persistent fund using a technique I called one rank, or OR. The technique resulted in a significant improvement in annual return (Ann) and a reduction in maximum drawdown (Mdd). The term one rank implies ranking a single mutual fund daily, buying on an up day (return of fund positive), and selling any day the fund is down (...
Serial Correlation Of One Rank by Norman J. Brown
ARTICLE SYNOPSIS ...Serial Correlation Of One Rank by Norman J. Brown The one rank mutual fund switching technique is further enhanced using correlation. In two earlier articles, I demonstrated that the "one rank" (OR) switching technique depends on a low-value (less than 63) switching rate (S/Y), which in turn implies a longer than random up/down day streak period (more than four days). Here, I will investigate the methodology further, exploring enhanced streak periods using a well-known statistical method called correlation, implemented using Pearson's correlation coefficient, r (details are in the sidebar, "...
A Mutual Fund Trading Method by Norman J. Brown
ARTICLE SYNOPSIS ...A Mutual Fund Trading Method by Norman J. Brown Get better profits and reduce your risks by using the one-rank method to select mutual funds to trade. There are many techniques and tools you can use to define turning points that generate trading signals. In this article I will discuss an approach that uses only very short-term persistence -- that is, from one day to the next. I refer to this one-day principle as "one rank" (OR). The trading rules are simple, and historical evidence from the last 13-plus years clearly shows that using OR to select mutual funds can help you gain substantial pro...
Combining Long And Short Funds by Norman J. Brown
ARTICLE SYNOPSIS ...Combining Long And Short Funds by Norman J. Brown Obtain better profits and reduce your risks by using this method to select mutual funds for trading. In the June 2003 issue of STOCKS & COMMODITIES, in my article "A Mutual Fund Trading Method," we saw some excellent trading results using just one mutual fund. The method I used was a one-day, one-fund daily ranking that determined buy and sell entry points. When not invested in the ranked fund, you were either out of the market or in a money market fund until another buy signal was triggered. This time, I'll use the previous one-day, one-fun...
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