When does the market top out?

In Subscribers only by Cam Hui

Preface: Explaining our market timing models We maintain several market timing models, each with differing time horizons. The “Ultimate Market Timing Model” is a long-term market timing model based on the research outlined in our post, Building the ultimate market timing model. This model tends to generate only a handful of signals each decade. The Trend Model is an asset ...
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The market`s hurdles to sustainable new highs

In Subscribers only by Cam Hui

Mid-week market update: So far, my recent VIX based buy signal has worked out according to plan (see A market top checklist). I emailed subscribers the buy signal from the trading system on Friday, which was triggered when the VIX Index rises above its upper Bollinger Band and then mean reverts below.     If history is any guide, stock ...
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(Chinese) blood in the streets?

In Subscribers only by Cam Hui

The worries about China ebbs and flows. The latest BAML Fund Manager Survey shows that China fears are at flood levels again.     Indeed, developments such as the inverted Chinese yield curve is creating a sense of peak anxiety.     I recently highlighted analysis indicating that China fears are overblown (see Are the Fed and PBoC taking away ...
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A market top checklist

In Subscribers only by Cam Hui

Preface: Explaining our market timing models We maintain several market timing models, each with differing time horizons. The “Ultimate Market Timing Model” is a long-term market timing model based on the research outlined in our post, Building the ultimate market timing model. This model tends to generate only a handful of signals each decade. The Trend Model is an asset ...
To access this content, you must be a subscriber.

From alpha to actual returns: Why your mileage will vary

In Subscribers only by Cam Hui

One of the characteristics of a good financial modeler is to know his model’s limitations. He know how and why they work, and under what circumstances they will fail. I have been asked a number of times in the past to disclose the returns of my trading account, or the signal dates of my trading model, whose out-of-sample buy and ...
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The island at SPX 2400

In Subscribers only by Cam Hui

Mid-week market update: The SPX rose to a marginal new high this week but broken down through a narrow range due to the latest he said-he said dispute in Washington. The index appears to have formed an island reversal with bearish implications. The market has fallen through two gaps to test its support level at about the 50 day moving ...
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How I learned to stop worrying and love the low VIX

In Subscribers only by Cam Hui

Investor angst has been rising over the low level of the VIX Index. A simple glance at Google Trends tells the story of rising anxiety.     The VIX Index fell to single digits last week, though it recovered to above 10 by the end of the week. Nevertheless, current levels represent multi-year lows.     James Picerno at Capital ...
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