A Better ZigZag

There are a lot of “winning” strategies for bull markets floating around. “Buy the pullbacks” is certainly one of them. Does this sound simple enough to implement to you? While I am no Sheldon Cooper (although I have a favorite couch seat), I still like to live in a somewhat well defined world, a world in which, there is much more information attached to a tip like “Buy the pullbacks”. Let’s start with a chart of the recent history of the S&P 500 ETF:

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What has Worked in June

Time to start looking at the next month. Let’s start with the top five performing futures (ordered by winning percentage):

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Moved Quantscript to GitHub

Quantscript is an old project of mine, which was hosted on google.code. Since google.code is shutting down, I had to either scrap it or migrate it to GitHub. I am not using this code on a daily basis anymore, and since the project is relatively small – the natural thing would have been to scrap it. However, I found myself a few times over the years pulling out the source code of the project to follow as an example how to do different things in Python. Hence, I thought better to spend the time to migrate the project.

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What has Worked in March?

Since February didn’t show anything interesting in the calendar analysis, I passed on writing a post about it. March, on the other hand, looks quite interesting. Let’s start with the top five performers (ordered by winning percentage):

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Adding back the Swiss Franc, or not?

The recent move by the Swiss National Bank (SNB) to remove the peg between the Swiss Franc and the Euro has caused lots of turmoil (see here and here) in an already volatile environment. The magnitude of the event was a pure surprise to me. Yes, this is Switzerland, and this is the Swiss Franc, but, from a mere technical point of view, after the peg in September 2011, the Franc should not have been treated any more as a major currency. Consider, which currencies are pegged? If China removes the peg between the Yuan and the US dollar, would it send the same shock waves through the world markets? I doubt it.

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The Greed that is not Good

It’s embarrassing, but hoping it might be useful to others, I’ll share it anyways.

At the beginning of January, as usual, I posted the allocations for that month for the strategy I call Max-Sharpe and which I try to follow. So what’s the deal? Well, I wasn’t able to enter these positions, since I became too “greedy”.

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What has Worked in January?

After my calendar analysis of the Russell 2000 proved to be right on target (up more than 5% since that point), I couldn’t resist but to take a similar look at the month of January. My universe was my list of futures. On the long side, the top three (sorting done by winning months) were:

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