Scaling the Sharpe & Sortino Ratios For Daily Returns

The Sharpe Ratio      The Sharpe Ratio is one of the more popular ways to evaluate an investment for risk as well as for returns. Assessing the risk of an investment is not easy.  The Sharpe Ratio won’t protect you if the provider is dishonest (e.g., Bernie Madoff) or if historical patterns change (e.g., default rates on AAA-rated mortgage-backed securities).  However the ratio does factor-in historic …

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The Modified Davis Method, by Frank Roellinger

First posted September 11, 2013 INTRODUCTION Always interested in alternatives to buy and hold, Vance has generously allowed me to describe my stock market trading method here, and to post its buy and sell signals as they occur in the future.  This information is for educational and entertainment purposes only, it will never be a recommendation to buy or sell anything.  But I believe that …

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A 3D View of the S&P 500: Price, Time, and Markets

There are lots of valid ways to look at the market.  Obviously, price is important, but a number alone (e.g., 1487.85—the Feb 25, 2013, S&P 500 close) doesn’t mean much.  Price related metrics like percentage changes and support/resistance levels add value, but adding time as a factor enables some really interesting measures like moving averages and momentum trackers.    My favorite time-related metric is term structure—how the …

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Needed—A Way to Flash Proof Your Stop Limit Orders

I’ve never liked stop loss orders.  I’ve seen too many people get blown out of their positions by short term price fluctuations.   A glitch October 24th,  at ATT’s opening shows the typical pattern. I think we need improved stop lost orders to help retail investors avoid being stopped out during events like these—often at the worst possible prices. In the past most gaps were triggered by …

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Schwab Puts StreetSmart Edge® in the Cloud

Faced with the explosion of different computing devices, Schwab has provided a relatively platform insensitive way for Schwab customers to use its flagship StreetSmart Edge® (SSE) package (review).  It uses session virtualization to shift the heavy memory and CPU requirements of SSE from your machine to theirs.  The only thing left for your computer to do is to refresh your display information and pass keystrokes / …

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