Dancing with the Trend

October 2015

Dancing with the Trend

A Different Perspective on Standard Deviation

by Greg Morris

Warning: This article is for nerds only! I have often stated that Standard Deviation (Sigma) is an inappropriate measure of risk.  For example, October 19, 1987 was a 22 Sigma event. The Dow Industrials fell 508 points.  An event that based upon the tools of modern finance, was impossible to happen, yet it did.  So I thought a good understanding of Sigma might be appropriate. Definition: A light year is a distance not a time.  It is the distance that light will travel in one year. Table A has some numbers that are beyond human capacity Read More 

Dancing with the Trend

Mean Shifting

by Greg Morris

I’m quite sure the title had you thinking.  Is it about driving a manual transmission automobile aggressively?  Or is It a personality trait that is not good?  Neither of those are even close, it is about the average (mean) of a strategy’s return distributions. My Dance with the Trend model measures the trend of the market, then utilizes rules to scale into the trend, and maintains risk containment measures (stop loss) both absolute and relative, and when an uptrend is not identified, a cash position of up to 100% is utilized.  There are two distribution concepts at Read More 

Dancing with the Trend

New High, New Low Indicators (CGMBI - Chap 7)

by Greg Morris

Please remember, these articles that cover various chapters in the upcoming book are not the complete chapter, only highlights that I have selected.  The book is nearing completion.   CH 7 New High New Low Indicators   This Chapter contains all the indicators that are dedicated to using New Highs and/or New Lows. New High New Low Indicators             High Low Difference New Highs – New Lows New High New Low Line Read More 

Dancing with the Trend

Questions from Readers - 3rd Qtr. 2015

by Greg Morris

The first article of each calendar quarter will contain the best 10-12 questions posed by readers over the past 3 months.  This is the second one in this Q&A series; the first one is here.  This hopefully will encourage asking questions via the Comments section.  Of course, the best questions are the ones where the answer will benefit many readers.  Please keep the questions somewhat related to the article.  Thanks! Q - Hi Greg, do you do extensive research on business cycle and market cycle work or do you subscribe to anybody for the analysis? (Ed Read More 

Dancing with the Trend

Article Summaries 9-2014 to 3-2015

by Greg Morris

Most blog authors on StockCharts.com are writing about the current markets and do an exceptional job.  Erin Heim has become a chip off the old block – her Dad, Carl Swenlin.  I do not write about the current markets as wanted to share my experiences after 40+ years as a technical analyst.  Not only experiences with trading and investing, but model building and money management.  I also share the details of all the Master’s degrees I have – those expensive learning experiences that hopefully I learned something from.  Since I rarely go back into the archives of Read More