Author Archives: Brian Johnson

About Brian Johnson

I have been an investment professional for over 30 years. I worked as a fixed income portfolio manager, personally managing over $13 billion in assets for institutional clients. I was also the President of a financial consulting and software development firm, developing artificial intelligence based forecasting and risk management systems for institutional investment managers. I am now a full-time proprietary trader in options, futures, stocks, and ETFs using both algorithmic and discretionary trading strategies. In addition to my professional investment experience, I designed and taught courses in financial derivatives for both MBA and undergraduate business programs on a part-time basis for a number of years. I have also written four books on options and derivative strategies.

U.S. Recession Risk Jumps 20% in November

Posted on December 10, 2012 by

I introduced the topic of recession forecasting in late October and have since developed several recession forecasting tools that I created by applying probit, logit, and neural network models to a diffusion index of economic and market-related variables.  If you … Continue reading →

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Posted in Economic Indicators, Fundamental Analysis, Market Commentary, Market Timing, Recession Forecasting Model, Strategy Development | Tagged , , , , , , , , , | 1 Comment

Non-Farm Payroll (NFP) Forecast – November 2012

Posted on December 6, 2012 by

I introduced a simple non-farm payroll forecasting model a few months ago and revised the model last month.  The revisions improved the fit and reduced the standard error.  Going forward, I may also attempt to build a neural network model … Continue reading →

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Posted in Economic Indicators, Market Commentary, Market Timing | Tagged , , , | Leave a comment

A Relative Strength Market Timing Oscillator

Posted on December 1, 2012 by

I read about this indicator in an article titled “Roulette Wheels and Individual Stocks,” which appeared in the December 2012 issue of Active Trader.  The article was written by Richard J. Bauer, Jr.  In the article, Bauer used an innovative … Continue reading →

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Posted in AmiBroker Code, COT Analysis, Futures, Market Commentary, Market Timing, Relative Strength, Technical Analysis | Tagged , , , , , , , , , , , , , , , , | 5 Comments

Long-Only Equity Strategy Earned 44% in 2008

Posted on November 26, 2012 by

I read about this strategy in an article titled “The Low-Close Edge,” which appeared in the December 2012 issue of Active Trader.  The article was written by Nat Stewart.  Stewart introduced a very simple, systematic, long-only equity strategy that generated … Continue reading →

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Posted in Market Timing, Strategy Development, Technical Analysis | Tagged , , , , , , | 7 Comments

Recession Model Improvements

Posted on November 21, 2012 by

I introduced the topic of recession forecasting in late October with a discussion of Capital Spectator’s Economic Trend index, which I used as a foundation for two new recession forecasting models. Last week I explained the potential limitations of forecasting … Continue reading →

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Posted in Economic Indicators, Market Commentary, Market Timing, Recession Forecasting Model | Tagged , , , , , , , , , , | 2 Comments

Symmetric TRIN Indicator Identifies Potential Reversals

Posted on November 16, 2012 by

The TRIN (also called the ARMS index) is a breadth indicator created by Richard W. Arms.  It acts as an oscillator and extreme values can be used to identify overbought and oversold conditions.  Unfortunately, the standard TRIN indicator has some … Continue reading →

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Posted in AmiBroker Code, Market Breadth, Market Timing, Technical Analysis | Tagged , , , , , , , , , , , , , | 5 Comments

Recession Models and the Fiscal Cliff

Posted on November 13, 2012 by

Last week I introduced two new probit models to forecast recessions and the period between the market’s peak and trough associated with each recession – as defined by the National Bureau of Economic Research (NBER). In response to that article, … Continue reading →

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Posted in Economic Indicators, Market Commentary, Market Timing, Recession Forecasting Model | Tagged , , , , , , , | Leave a comment

New Probit Models: U.S. Recession Risk is Currently Low

Posted on November 8, 2012 by

Last week I wrote about using statistical tools to forecast recessions and referenced James Picerno, who provided the inspiration for this idea through his articles on the Capital Spectator Economic Trend Index (CS-ETI) and the use of probit models to … Continue reading →

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Posted in Economic Indicators, Fundamental Analysis, In-Depth Article, Market Commentary, Market Timing, Recession Forecasting Model | Tagged , , , , , , , , | 5 Comments