Monday, January 19, 2015

Trading Views for a New Market Week

*  My recent projects have included developing better measures of price momentum and volatility.  With respect to momentum, I am working on a measure that cuts across multiple time frames and that measures momentum in vol-adjusted terms.  With respect to volatility, I'm working on a measure that cuts across realized and implied vol.  Above is a fast measure of multiperiod momentum that has tended to top and bottom ahead of price during intermediate market cycles.  Instead of using backtests to predict (and trade) forward price movement, I use the tests as gauges for the average expectable movement from any given configuration of momentum and volatility.  That provides a useful framework for determining whether the current market, going forward, is behaving stronger or weaker than average.  Sustainable trends, early in their life, perform stronger than average.  So far the current market is behaving weaker than average.

*  Worthwhile perspectives on bond price strength (falling yields) and more from the top links of the week via Abnormal Returns.  It's a great way to discover insightful blogs you may have missed.

*  Does early January performance in the stock market predict full year returns?

A look at market sentiment and what it might mean.

Interesting market observations from Nautilus Research.

*  A look at returns from trading absolute momentum.

*  Peter Pham's The Big Trade podcast features a broad range of global market views from Vitaliy Katsenelson.  See also a broad range of featured podcasts linked by Abnormal Returns.  

Have a great start to the week!