25
Oct

What is this?

 

 

 

 

 

 

 

 

What is this graph?  I’ll give you a hint — it has something to do with technical analysis where investors look for signals near turning points.

Ideas?  Let me know in the comments.  I’ll have a post on this later.






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7 Responses to What is this?

  1. paul_s says:
    26 October 2011 at 9:45 am

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    auto-correlation of stock prices in months

    • David Merkel says:
      26 October 2011 at 9:59 am

      No, but that’s an interesting thought. Thanks for commenting.

      • paul_s says:
        26 October 2011 at 10:32 am

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        moving average convergence / divergence on the market :)

        not sure what period is covered.

        • David Merkel says:
          26 October 2011 at 11:04 am

          Ding! You got it. It is the resulting set of price weights for MACD 12-26-9, which seems to be the most common set of parameters, though I don’t profess expertise here.

  2. Lucas says:
    26 October 2011 at 10:03 am

    The thirty day price of your favorite new penny stock. ; )

  3. tgma says:
    27 October 2011 at 5:03 am

    Warning: array_keys() [function.array-keys]: The first argument should be an array in /hermes/bosweb26b/b2401/nf.alephblog/public_html/alephblog.com/wp-content/plugins/universal-post-manager/functions.php on line 1660

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    Interesting – I’ve been working on this for a while. I’ve analysed time series of market indices, comparing the returns on trading using various moving average (MA) pairs, with a buy and hold strategy.

    For the S&P since 1950, I’ve found no MA pair (longer average up to 180 days) that returns more than a buy and hold strategy, and most are much worse. (I’ve included a 10 bp trading charge, but it doesn’t affect the overall result).

    I’m sure I can’t be the only one doing this sort of work, so I would love to hear of any other sources. My sense is that mathematically the MA is a crude approximation of the second derivative, and that one should not be using pairs of MA, but multiple combinations, in some sort of multi-dimensional matrix. Something to occupy my mind as the evenings draw in.

    At least it gives me some ammo to deal with the idiot brokers who call me to tell me that there is great significance in the spot price crossing the 60-day or 180-day MA – historically you would have lost a lot of money following that logic.

  4. cold.as.ice says:
    28 October 2011 at 2:48 pm

    http://www.investment-models.com/ is one such success story and has a 40 year track record.

    Full disclosure – I do not have any $ in the game one way or the other with this vendor or with this approach. I do however find it interesting.

Disclaimer


David Merkel is an investment professional, and like every investment professional, he makes mistakes. David encourages you to do your own independent "due diligence" on any idea that he talks about, because he could be wrong. Nothing written here, at RealMoney, Wall Street All-Stars, or anywhere else David may write is an invitation to buy or sell any particular security; at most, David is handing out educated guesses as to what the markets may do. David is fond of saying, "The markets always find a new way to make a fool out of you," and so he encourages caution in investing. Risk control wins the game in the long run, not bold moves. Even the best strategies of the past fail, sometimes spectacularly, when you least expect it. David is not immune to that, so please understand that any past success of his will be probably be followed by failures.


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