I thought we could share some possible edges in this topic (no harm in doing that with financials). I don't mean complicated technical analysis but maybe some slightly more unusual stuff.
I was reminded of this article http://blogs.reuters.com/globalinvestin ... uy-shares/ based on by Goldman Sachs research which found that the S&P 500 index did much better during the last two hours of trading each day than at any other time (from 2008).
In the past I've found that buying intra-day dips in gold on Fridays has been very profitable, especially when there's any stress in the financial sector, Eurozone etc. - my reasoning being that traders are less likely to want to hold short positions in gold over weekends in times of uncertainty. I haven't done any proper analysis on it, so it's only anecdotal.
Financial trading edges
This document presents some evidence supporting the idea behind trend following - that trend lengths are not normally distributed: http://trendfollowing.com/whitepaper/mebane.pdf
Jeff
Jeff
One thing the document says that just caught my eye is:
'Markets are a collection of humans, and being human, a collection of human emotions. Greed, fear, jealousy, pride, and envy all manifest themselves to the fullest in capital markets.
When you are making money you are thinking about the new car you are going to buy, how smart you are (and how much smarter you are than your neighbor), the vacation you are going to take, and the (2nd, 3rd, 4th) house you are going to buy. The part of the brain that is firing nonstop here is the same region that gets stimulated by cocaine or morphine.
However, when you are losing money you are probably not opening your account statements, you are thinking about how dumb you are (and how stupid you were to listen to your neighbor), how you are going to pay for that second house, and you likely feel significant revulsion to even thinking about investing. The brain processes portfolio losses in the same region that is stimulated by the flight response.'
Jeff
'Markets are a collection of humans, and being human, a collection of human emotions. Greed, fear, jealousy, pride, and envy all manifest themselves to the fullest in capital markets.
When you are making money you are thinking about the new car you are going to buy, how smart you are (and how much smarter you are than your neighbor), the vacation you are going to take, and the (2nd, 3rd, 4th) house you are going to buy. The part of the brain that is firing nonstop here is the same region that gets stimulated by cocaine or morphine.
However, when you are losing money you are probably not opening your account statements, you are thinking about how dumb you are (and how stupid you were to listen to your neighbor), how you are going to pay for that second house, and you likely feel significant revulsion to even thinking about investing. The brain processes portfolio losses in the same region that is stimulated by the flight response.'
Jeff