Overview The Breadth Thrust indicator is a market momentum indicator. It was developed by Dr. Martin Zweig. The Breadth Thrust is calculated by dividing a 10-day exponential moving average of the number of advancing issues, by the number of advancing plus declining issues. Interpretation A “Breadth Thrust” occurs when, during […]
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This tutorial written and reproduced with permission from Peter Ponzo Here, we want to describe the logic behind the Black-Scholes Option Pricing Formula which looks like this: Figure 1 What do all those symbols …? We’re not going to derive the formula … just give some indication of how […]
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This tutorial written and reproduced with permission from Peter Ponzo We’re attaching a personal “Utility” to the prospect of receiving $x, namely U(x). For example, we might choose the Utility Function U(x) = SQRT(x) so that we attach to a gain of $10,000 a “Utility” of SQRT(10,000) = 100 and […]
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This tutorial written and reproduced with permission from Peter Ponzo One often attempts to find some optimal strategy by varying certain parameters. Perhaps the problem is to find the optimal allocation of assets between stocks and bonds, given the Mean and Volatility of each asset. Perhaps it’s to decide the […]
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This tutorial written and reproduced with permission from Peter Ponzo Once upon a time, in 1952, Harry Markowitz introduced “Modern Portfolio Theory” and the “Mean-Variance optimization” and … Figure 1 Huh? You pick a “risk” which you’re comfortable with (they equate Risk = Standard Deviation), then vary your […]
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