Exercise and Trading

I read a good post on Brett Steenbarger’s Traderfeed on the topic of Best Practices in Trading: Using Movement to Gain Emotional Control. It is true that you do not often see much about the effects of staring at a screen for hours on end. I have recognised that my best trading occurs during momentum…

Dollar Index vs Crude Oil

Clear correlation between DXY (Inverse) and CL Commodity and hedge funds are notorious momentum traders, a reputation borne out by the COT data. The natural consequence of this strategy, and the weakness in the funds’ approach is that they typically are caught holding their largest position—in the wrong direction—at market turns. For example when funds…

How to analyse the Commitment of Traders Report

I feel very strongly about the value of this information and about helping yourself to discover what it contains. I am trying to keep my activity on twitter to a minimum and using what I wrote to focus and to journal ideas. Here is what I wrote about COT data which would have helped you…

Predicting a stock’s daily trading volume: Update 1

Originally posted on MKTSTK:
Last week we presented some evidence that the total daily trading volume for SPY could be predicted from the first minute’s trading volume. We accomplished this using an Archimedean copula, a mathematical construct for modeling multivariate data. Interpreting a copula from an intuitive standpoint can be difficult at first glance, so we thought…