tag:blogger.com,1999:blog-2676650858658561710.post4747377568018091854..comments2023-11-02T06:14:07.871-04:00Comments on Quantifiable Edges: Does A Disjointed Nasdaq / Russell Relationship Mean Anything?Rob Hannahttp://www.blogger.com/profile/07596674657839065754noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-2676650858658561710.post-45984226115804555702008-01-29T11:56:00.000-05:002008-01-29T11:56:00.000-05:00Josh - 1) I don't have a good explanation for the ...Josh - <BR/><BR/>1) I don't have a good explanation for the results. Many times when I run a test, I can anticipate the results somewhat because I have a theory going in. In this case I simply found the observation to be odd and then looked to see what had happened given like events in the past. I was surprised by the lopsided results. Normally if I see a 9.7% expected return and 90% win rate I'm all over the long side. In this case I wasn't quite sure what to make of it but felt the results were worth sharing.<BR/><BR/>2)Very few had strong outperformance during the event by one index or the other. Exceptions were 12/20/00, 8/1/00, and 4/19/99.Rob Hannahttps://www.blogger.com/profile/07596674657839065754noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-84316513297082280802008-01-28T13:28:00.000-05:002008-01-28T13:28:00.000-05:00A couple thoughts:1) Since the Nasdaq 100 is large...A couple thoughts:<BR/><BR/>1) Since the Nasdaq 100 is large-cap tech, while the Russell 2000 is broad small-cap, do you have any theories why this relationship exists; or is it simply a result of data mining (not to be confused with data dredging)?<BR/><BR/>2) Which historical instances you list are similar to the current situation, i.e. one index isn't clearly outperforming the other?<BR/><BR/>Thanks for all your analysis; I've found them interesting and thought-provoking.<BR/><BR/>Best,<BR/>JoshJoshua Ulrichhttps://www.blogger.com/profile/16641971932645230429noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-13865180927776980702008-01-28T11:25:00.000-05:002008-01-28T11:25:00.000-05:00Thanks for the thoughts guys.To address a few ques...Thanks for the thoughts guys.<BR/><BR/>To address a few questions, the Russell had somewhat similar performance. 8 of 10 instances were bullish. Volatility was also very high but generally not as high as the Nasdaq during the event (7 days) or the subsequent 20 - day period. I was unable to find a solid edge in comparing one to the other that could be taken advantage of as a spread trade.<BR/><BR/>RobRob Hannahttps://www.blogger.com/profile/07596674657839065754noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-29271067482641729952008-01-28T09:42:00.000-05:002008-01-28T09:42:00.000-05:00Great analysis. I'm wondering - did it matter whic...Great analysis. I'm wondering - did it matter which index outperformed the other by 1%? How did the Russell do after each disjointed week? I'm wondering if the index that underperformed (outperfromed) subsequently outperformed (underperformed) the other....<BR/><BR/>AlexAlexhttps://www.blogger.com/profile/03977124474414217398noreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-47967235010832701772008-01-28T00:59:00.000-05:002008-01-28T00:59:00.000-05:00This reminds me of Gary Smith's book "How I trade ...This reminds me of Gary Smith's book "How I trade for a Living" as he would often look for divergences in the indices for tells as to which way market may go...though somewhat differently than your method here.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2676650858658561710.post-78698734614139369772008-01-28T00:01:00.000-05:002008-01-28T00:01:00.000-05:00Good stuff. I considering opening a basket of shor...Good stuff. I considering opening a basket of shorts tomorrow, and this gives me pause.Jeffhttps://www.blogger.com/profile/03267918585202497489noreply@blogger.com