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A reader kindly forwarded the chart below from a new site that seems to be a quant-jock’s heaven: QuantDNA. The site is just a few months old and I had never read or heard of it until now. Poking around, I found out that QuantDNA is:
…dedicated to being the preeminent destination for investors seeking to gain a deeper understanding into various quantitative methodologies that have been historically associated with high probability outcomes in the financial markets.
That sets the bar really high! The way that QuantDNA sets out to deliver that is through several “genomes” (to continue with the biological analogy):
- Analog: historical price patterns in a series that match current patterns (so for example, comparing the Dow Jones Index in recent years to 1970’s)
- Astro: the superimposition of astrological events to the market (hold the laughter please and argue with the results which can be really impressive)
- Fib: not much about this but I assume it is Fibonacci related
- Event: an event which impacts the market such as economic data releases (for an example, see the chart below)
- Pattern: small observable patterns in the combination of price, volume, time (for example, an index closing higher than previous close 3 times in a row)
- Timestamp: the analysis and handicapping of intraday price movement
- Technical: again, not much on this but I assume it has to do with technical analysis patterns (for example, double tops, head & shoulder formations, etc.)
Let’s take a specific example that is appropriate for the recent “event” of a surprise discount rate cut. The graph below answers the question: what has happened in the S&P 500 index on average when the discount rate has been cut without a change in the Fed funds rate?
The red bars are the percentage positive (left scale) and the blue dots are the average percent change over time - t+n days after the event - (right scale). If I’m reading the graph correctly, after 30 days the S&P 500 is -2.6% (with 40% of the time being positive). Like the tagline says, no guarantees… only probabilities. Follow the link to the site and from there you’ll be able to change the index from the S&P 500 to say, gold or crude oil.
I’m not sure where the author of the site plans on taking QuantDNA (or who it is even!) but they sure have put a lot of work into it already. As you’ll notice if you try to read any of the many posts on the site, it requests you register first. This is a bit annoying but my assumption is that soon they will be putting a paywall around some, if not all, of the content. That is what I was told as well. But for now it seems to be free. So check it out. And if you have more information about the site, drop me a comment below or a contact me.
I’d like to once again thank all my readers for teaching me so much about the market, keeping me in touch with websites like this and just in general, giving me such great feedback. You guys are the best!
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