Editor’s note: this was originally posted at OptimalMomentum.com and is reprinted here to introduce readers to the philosophy of Gary Antonacci who will be a presenter at the MTA’s Annual Symposium. Momentum is based on the Newtonian notion that a body in motion tends to stay in motion. The classical economist David Ricardo translated momentum into investment terms with the oft quoted phrase, “Cut your losses; let your profits run on.” By following his own advice, Ricardo retired at the age of 42 having amassed a fortune of 65 million in today’s dollars.   Momentum style investing was alive and well during the 1920s and 1930s. Momentum dominates much of the famous 1923 book, Reminiscences of a Stock Operator, about the legendary trader Jesse Livermore. Momentum- based relative velocity ratings were used in the 1920’s by HM Gartley and published in 1932 by Robert Rhea. George Seaman and Richard Wycoff wrote books

 Editor’s note: this was originally posted at HoodRiverResearch.com and is reprinted here to introduce readers to the philosophy of David Aronson who will be a presenter at the MTA’s Annual Symposium. There is a need for quantitative strategies to differentiate themselves from competitors and to maximize returns. There are two approaches to doing this: Improving execution algorithms to minimize the price impact of strategy buy and sell orders, or Increasing the returns that can be earned from the strategy’s buy and sell signals. Hood River Research (HRR) favors taking the second approach. The return of your strategy is increased by predicting which signals are likely to be the most and least profitable, thereby allowing you to take larger positions on signals with the highest expectations and smaller positions on those with the lowest expected returns. The predictions are based on indicators that quantify the trading dynamics of a security at the time your strategy

Sixty-six attendees benefitted from the wisdom of a select group of speakers at the first meeting of the Philippines Chapter of the MTA on March 15, 2016. The audience consisted of local analysts, fund managers, institutional and retail traders that generally focus on Philippines stock market, including Edward Lee of COL Financial Group, the largest brokerage in the Philippines. Speakers included: James Brodie, CMT, of the Singapore-based fund manager Sherpa Funds, provided an introduction to MTA and CMT certification. Lawrence Gonzaga, CMT, publisher of the Abacus Supertimer, the technical research product of Abacus Securities Corp., introduced indicators applicable to Philippines stock market. Those tools are highlighted in the next article of this issue. Alex Siew presented new research on advanced indicators to track the flow of funds. Nikki Yu of Wealth Securities provided insights into her experience of her boss, Wilson Sy, who has been called the “Warren Buffet of the Philippines.” Wealth Securities and Philequity

Editor’s note: Investment managers are increasingly turning to technical analysis as a risk management tool. This article details how one manager is helping his clients with this discipline. Louis Llanes, CFA, CMT, is the founder of MacroTrend Strategies, LLC, an investment management firm managing assets for successful individual private clients. In 1997 Louis founded Blythe Lane Investment Management and later merged the firm with Centric Investment Group. He also served as a Senior Portfolio Manager for the US Bank Private Client Reserve, and an Investment Consultant for Kemper Securities. Early in his career he worked as a Financial Analyst for Intellogic Trace, a spin-off of DataPoint and a Quantitative Analyst. Louis holds both the Chartered Financial Analyst (CFA) and Chartered Market Technician (CMT) designations. He earned an MBA at the University of Denver and a B.S. in Finance from the University of Colorado in Denver. Louis is the author of “Financial Freedom Blueprint” and a contributing author in “The Handbook of Risk”

Editor’s note: Dr. Lo, developer of the Adaptive Market Hypothesis (AMH), prepared this paper for the Federal Reserve Bank of New York’s Financial Advisory Roundtable (FAR) meeting, October 17, 2014. The complete text is available at his web site. Below is an extract of the paper to highlight current issues in the market that technical analysts should be aware of. Abstract: Culture is a potent force in shaping individual and group behavior, yet it has received scant attention in the context of financial risk management and the recent financial crisis. I present a brief overview of the role of culture according to psychologists, sociologists, and economists, and then present a specific framework for analyzing culture in the context of financial practices and institutions in which three questions are addressed: (1) What is culture?; (2) Does it matter?; and (3) Can it be changed? I illustrate the utility of this framework by

This month we are taking a long-term look at markets through Ichimoku clouds. These charts consist of five components: Turning Line – midpoint of the high and low of the last 9 sessions. Standard Line – midpoint of the high and low of the last 26 sessions. Cloud Span A – midpoint of turning line and standard line shifted forward 26 bars forward. Cloud Span B – midpoint of the high and low of last 52 sessions shifted 26 bars forward. The Lagging Line – the price line (close) shifted back 26 bars. For simplicity, just the cloud spans are shown below. Although more detailed analysis is possible, they can be interpreted simply with the following guidelines: Prices above the cloud are bullish. Prices below the cloud are bearish. Prices in the cloud are bullish if they came from the bullish zone. Prices in the cloud are bearish if they came from the bearish zone. Historically thick clouds after a run