Saturday, August 23, 2014

Quantitative and Qualitative Perspectives to Start the Weekend

*  Thanks to a savvy portfolio manager for this economist's perspectives on dining out;

Interesting evidence of momentum effects on a day trading basis; I'm currently applying the measures of buying and selling pressure as filters to improve this trade; 

*  A wise trader passes along this perspective on what options ratios are telling us;

*  Here's a great exercise that will show you how easy it is to overfit backtests of data; see also this excellent paper on how to distinguish good, bad, and ugly backtests;

*  There's evidence that tweets predict stock prices; it's interesting to see that IWM sentiment is quite high in the Stock Twits measure, though the Russell 2000 Index has recently underperformed; QQQ sentiment is also quite high at 70% bulls and 30% bears;

*  Overvalued stock market?  Excellent perspectives on CAPE ratio from Meb Faber; a sharp money manager (with a high Sharpe) also passes along this view of the CAPE from Brad DeLong;

*  Abnormal Returns asks:  Is the market for apps saturatedOne of the more interesting trading apps is Google-funded RobinHood, which promises free commissions;    

Stock market correlations rise in times of market stress; might correlation regimes be an important sentiment measure?  See also this view of correlation from China's market

Have a great weekend!