STOCKS & COMMODITIES magazine. The Traders' Magazine

Article Archive For JUL1992

  • Back to Basics With Quantitative Analysis by Anthony J. Macek

    ARTICLE SYNOPSIS ...Back to Basics With Quantitative Analysis by Anthony J. Macek Ever notice how we seem to want to do things the hard way? Anthony Macek, publisher of the ""Just the Facts"" newsletter, has, and he's proposed a solution to simplify our lives using quantitative analysis. Here, Macek uses a technique of combining momentum and trend data to rate the condition of the market. Take a look. Developing an infatuation with complex formulas and intricate analyses can cause us to lose sight of what we are striving to attain. If we are not careful, we can find ourselves afflicted with paralysis by overana...

  • Elizabeth Marbach of Rodman & Renshaw by Thom Hartle

    ARTICLE SYNOPSIS ...Elizabeth Marbach of Rodman & Renshaw by Thom Hartle Elizabeth Marbach, first vice president and broker/analyst in the financial futures group for Rodman & Renshaw, started out in the early 1980s down in the Treasury bill trading pit on the Chicago Mercantile Exchange floor before eventually moving off the exchange floor. S TOCKS & COMMODITIES Editor Thom Hartle interviewed Marbach on April 20, 1992, on topics ranging from the Eurodollar market to the dangers of pyramiding. So how did you get started in the business? Well, I started out in the government bond department at Continental Illin...

  • Returning To The Basics by John Sweeney

    ARTICLE SYNOPSIS ...Returning To The Basics by John Sweeney Since November last year, I've gone through exploiting the trend-related activities -- trading the underlying trend, adding trades to the trend trades and reversing trades when wrong about the trend -- but there's the other half of trading that some would say is going on 80% of the time: trading-range trading. Recall that the original system was a trend-following system but inevitably, there were times when no trend was apparent. Thus, the first clue to a trading range is being out of the market when using the underlying system. Another clue to look for...

SIDEBAR: EXPERTS AND EGOS

  • SIDEBAR: T-TEST RETURNS

    ARTICLE SYNOPSIS ...T-TEST RETURNS For each of the 10 trading strategies, Article Figure 2 presents the mean quarterly net returns, the standard deviation of these returns, the results of the t-test, the autocorrelation coefficient (the column titled Auto contains the estimated values of the correlation coefficient between adjacent returns), and the value of the Shapiro-Wilkes statistic (the column titled S-W). The Shapiro-Wilkes test statistic is bounded between 0 and 1, with small values cause for rejection of the null hypothesis; the distribution of the Shapiro-Wilkes test statistic is right-skewed and, thus,...

  • SIDEBAR: TESTING INDICATORS FOR PROFITABILITY

    ARTICLE SYNOPSIS ...TESTING INDICATORS FOR PROFITABILITY In our first study of 34 indicators, MicroVest's BackTrak was used to simulate optimization using three strategies: speculation, hedging for a commercial holding a long position in the cash yen market and hedging for a commercial holding a short position in the cash yen market. ......

  • Stock Splits: Boon Or Bust? by Michael D. Sheimo

    ARTICLE SYNOPSIS ...Stock Splits: Boon Or Bust? by Michael D. Sheimo Even the most sophisticated market participants are tempted to buy a stock that has been announced to split two for one. They, of all investors, should know better, because not all stock splits turn out to be positive events. So how often are they positive for three to six months after? Michael Sheimo, best known for books such as Dow Theory Redux and Stock Market Rules, explores the question. Say that XYZ Corp. has just announced a two-for-one stock split to take effect in two months. Is it time to sell what you hold, buy more or do nothing? ...

  • Stocks According To Trend Tendency by Stuart Meibuhr

    ARTICLE SYNOPSIS ...Stocks According To Trend Tendency by Stuart Meibuhr Many times, a question asked of STOCKS & COMMODITIES readers will more than likely find an answer -- and more than an answer, further questions. Such was the article that E. Michael Poulos presented early in 1991, when he showed how assumed trend tendencies ain't necessarily so. Here, Stuart Meibuhr answers one of those corollary questions. If certain futures contracts show decided trend tendencies, can the same be said about certain stocks or indices? The question that E. Michael Poulos asked in the January 1992 STOCKS & COMMODITIES was ""...

  • System Optimization Techniques by David S. Nicol

    ARTICLE SYNOPSIS ...System Optimization Techniques by David S. Nicol What is system optimization and is it good or bad? It's a little of both, system designers will tell you. David Nicol explains the whys and wherefores. System optimization is a controversial subject among market analysts, but it is also misunderstood by analysts and traders. So what is system optimization? When designing a technical trading system, the designer must use a mathematical formula or algorithm of some kind to produce trading signals. This is usually referred to as an indicator and can be as simple as a single moving average or as c...

  • Technically Trading The Yen With Money Management by Timothy L. Krehbiel, Thomas P. Drinka, and Gisele F. Hamm

    ARTICLE SYNOPSIS ...Technically Trading The Yen With Money Management By Timothy L. Krebiel, Thomas P. Drinka, Gisele F. Hamm Any good trading methodology includes selecting the best indicators for a tradeable and applying money management techniques to hold on to profits. In the April 1990 STOCKS & COMMODITIES, 34 indicators were tested for profitability. Here, Timothy Krehbiel, Thomas Drinka and Gisele Hamm take the indicator that was found to be most profitable and combine it with different money management techniques to statistically test for profitability. First, the indicator and money management strategy ...

  • The CRB Index/Bond Ratio by John J. Murphy

    ARTICLE SYNOPSIS ...The CRB Index/Bond Ratio by John J. Murphy Veteran technician John J. Murphy, whose trailblazing work on technical analysis and intermarket analysis are classics of the field, has delved into how bonds and commodities are interrelated and then how bonds and stocks influence each other. Now, he introduces the C RB index/bond ratio as another example of how these three market sectors interact, allowing us to determine the relative strength between bonds and commodities. In my last two articles, I examined first the inverse relationship between the Commodity Research Bureau (CRB) Index and bond...

  • The Damping Index by Curtis McKallip Jr.

    ARTICLE SYNOPSIS ...The Damping Index by Curtis McKallip Jr. Variety is the spice of life -- except when you're trying to optimize a trading system. This new indicator identifies those places on the price graph where highs and lows are getting closer and closer together, and when used in conjunction with buy rules and sell rules, it can be used to create a computerized trading system. Longtime S&C contributor Curtis McKallip demonstrates. Why is it so difficult to optimize a trading system for different markets? One reason may be that most technical indicators are not easily related to classic economic theory. D...

  • The Theory Of Runs by Robert P. Rotella

    ARTICLE SYNOPSIS ...The Theory Of Runs by Robert P. Rotella Are you the kind of trader who assumes that everything will go your way, only to be hit with a string of disastrous losses? Or are you the kind of trader who assumes that the worst scenario is the most likely one, only to find that you could have done a lot better with a much less fatalistic attitude? What are the chances of a series of bad trades occurring, anyway? In an excerpt from his Elements of Successful Trading, published by the New York Institute of Finance, Robert P. Rotella explains the theory of runs. What are the chances of a series of bad...








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