Cracking Markets

Episode #304: Damon Ficklin, Polen Capital, “Even Though We Are Clearly A Growth Manager, A Lot Of Us Have Value-Oriented Roots Guest: Damon Ficklin joined Polen Capital in 2003. Mr. Ficklin is Head of the Large Company Growth Team and the lead portfolio manager of the firm’s Global Growth strategy. ... Read more

Market Sentiment and an Overnight Anomaly Abstract Various research papers show that market sentiment, also called investor sentiment, plays a role in market returns. Market sentiment refers to the general mood on the financial markets and investors’ overall tendency to trade. The mood on the market is divided into two... Read more

Episode #303: Kevin Lozer, Holistiplan, “Streamline And Scale The Tax Planning Process For Advisors” Guest: Kevin Lozer, CFP is the co-founder of Holistiplan, an end to end tax planning tool for financial advisors. Kevin brings a lifelong interest in the technology startup space to Holistiplan. He has been an active... Read more

Price curves consist of much noise and little signal. For separating the latter from the former, John Ehlers proposed in the Stocks&Commodities May 2021 issue an unusual approach: Treat the price curve like a radio wave. Apply AM and FM demodulating technology for separating trade signals from the underlying noise.... Read more

Dark pools are an alternative trading system (ATS) that allows institutional investors to conduct massive trades without disclosing details on the public exchange unless executed.Key TakeawaysA dark pool is a private financial forum or an Alternative Trading System used for trading large blocks of financial instruments away from the public... Read more

Episode #302: Lisa Rich, Hemisphere Ventures, Xplore, “There’s Never Been A More Exciting Time For The Space Industry” Guest: Lisa Rich is managing partner of Hemisphere Ventures, an early stage VC firm focused on frontier tech. She’s also founder and COO of Xplore, a space company dedicated to deep space... Read more

Presenting the Intuition and Code of the Fibonacci Timing Pattern I am always fascinated by patterns as I believe that our world contains some predictable outcomes even though it is extremely difficult to extract signals from noise, but all we can do to face the future is to be prepared,... Read more

 It's April, which means the birds are singing, the trees are leafing, and I'm doing my annual review of my investing and trading performance. The format will be familiar from previous years, but I'm going to be using the fact I've upgraded my live trading system to include a lot more... Read more

Crowding in Commodity Factor Strategies Nowadays, factor strategies are widely spread and used by practitioners, but this factor boom has given rise to some concerns. A key question is whether these strategies stay profitable once published and if they are not arbitraged away. Some strand of the literature suggests that there... Read more

Episode #301: Dr. Daniel Crosby, Orion Advisor Solutions, “You Want The Best Anxiety Adjusted Returns” Guest: Daniel Crosby, Ph.D, is Chief Behavioral Officer at Orion Advisor Solutions. Orion serves more than 2,000 firms on its wealthtech platform and turn key asset management platform, which has $48B in assets under management.... Read more

Volume Weighted Average Price (VWAP) is the average trading price of a security throughout the day using both price and volume. It provides traders an insight into the price trend where volume is highest.Key TakeawaysVolume-weighted average price or VWAP is the cumulative share price ratio to the cumulative volume traded... Read more

An Analysis of Volatility Clustering of Equity Factor Strategies Introduction Factor investing is a centrepiece of modern portfolio management and there is a lot of research related to it. For example, Jennifer Bender et al. (2013) identified the following equity factors, which historically provide premium and are backed by academic research:... Read more

April 7, 2021 In my previous post, Adding candlesticks to mean reversion setup, we looked at how various candle patterns could help individual trades. Now we will see how those results translate to a portfolio. And why I usually only do portfolio level testing. Setup Rules Stock is a... Read more

Episode #299: Sundeep Ahuja, Climate Capital, “Earth Is A Big Ship And It’s Going To Take A While For Us To Turn This Ship Around” Guest: Sundeep Ahuja is a 3x founder-turned-investor who’s currently GP @ Duro Ventures, Climate Capital, and DVC. Prior investments include Good Eggs, Substack, Mighty Buildings,... Read more

I have begun sharing one of the Quantifiable Edges Seasonality Calendars each month. Last month, we looked at long-term treasuries. This month the calendar that caught my eye was the NASDAQ Composite Index. The Quantifiable Edges Seasonality Calendar uses multiple systems to measure historical performance on similar days to those... Read more