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Spiders, the Finale
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Spiders, the Finale

Buying everything that worked

Shyam Sunder
Nov 13, 2021
Share this post
Spiders, the Finale
stockviz.substack.com

Over the last few weeks, we’ve been looking at different ways to trade the S&P 500 Sector SPDRs (Spiders.) We started with using the Efficient Frontier to make the allocation decision for us in our first post:

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8 months ago · Shyam Sunder

Then, we looked at buying the best performing sector over different time-frames.

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8 months ago · Shyam Sunder

Then, we tried buying the worst performing sector.

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Over the last couple of weeks, we’ve been looking at different ways to trade the S&P 500 Sector SPDRs (Spiders.) We started with using the Efficient Frontier to make the allocation decision for us in our first post: Then, we looked at buying the best performing sector over different time-frames…
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8 months ago · Shyam Sunder

None of them worked.

This week, we tried buying all sector ETFs that had a positive return.

The results were a bit mixed. There is a set of backtesting specs that would’ve allowed one to hit the right note. Check it out here and see if you can visualize it.

Links

INVESTING; Humbling Lessons From Parties Past (2000) NYT

And after the initial public offerings, day traders rapidly exchange Internet shares as if they were Pokemon cards for adults.

But the rules of valuation have not changed. Stocks are only worth the present value of the cash flows they are able to generate for the benefit of their shareholders.

On backtesting and developing systematic trading strategies (2017) (PDF)

Twitter avatar for @timebargainsJP @timebargains
For most cases... it's not going to be about combining "signals" - but questioning if it IS a signal, what it means and how it works/doesn't work. Combining things you don't understand well - results in becoming someone who leaves the industry saying: "markets are random."

November 12th 2021

3 Retweets44 Likes

The Momentum Factor is Driven by Behavioral Bias, Not Risk (2021) (AA)

Meme of the Week

Earnings season was in full swing and some of the meme stonks had it rough.

Twitter avatar for @alifarhat79Jerome Powell @alifarhat79
This is amazing

November 11th 2021

421 Retweets1,928 Likes

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Spiders, the Finale
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