Strategies #idea
Strategies Attacking Strategies: Entries Defending Strategies: Exits Risk Strategies: Position Sizing –h
Month: September 2013
New Information Rate is 15% #idea
“A good 15% of the search questions it [Google] sees every day are new – queries it has never answered before.” <http://www.bbc.co.uk/news/technology-23866614> If 15% new information is coming into search each day, then there should be a similar percentage of new information coming into the markets – an absolutely huge number of underlying change which Read more about New Information Rate is 15% #idea[…]
Market Stress – Post FOMC
Post-FOMC long term market stress. Markets with high stress levels tend to reverse but timing is hard. The main idea behind Market Stress is that in market with high stress levels, there is more risk in the current direction of the trend and more opportunity in the opposite direction. In the chart below, the stress Read more about Market Stress – Post FOMC[…]
Interest Rates 1871-2013 #idea
Interest rates 1871 – 2013. 2 generations of families, businesses, corporations and governments (state, local, federal) have known nothing but falling interest rates. Rising rates where bills go up every month and credit is tighter will be a new experience…
Contingency Forecasting #idea
Contingency Forecasting – a way of forcing myself to think ahead. Similar to having 200 words for snow. Begets nuance and feel. –h
Labs: Market Stress Sept 13, 2013
Near Term Market Stress as of close Sept 13, 2013. High Stress (potential turning points) in: US, ES, Stoxx, Russell
P&L as Data Stream #idea
What would turning your P&L into a datafeed tell you? It would tell you how well you’ve traded on days like today. And that is fascinating. –h
Win Loss Ratio #idea
Hypothesis: The win/loss ratio can be changed (avg winning trade/avg losing trade) Benefit: Smaller drawdowns and if smaller llt then can handle more leverage Test: Use the Market Stress indicator to minimize trades in overbought/oversold areas where losing trades tend to be out-sized. Test: Only take short trades over shorter time periods
Labs: Market Stress
The elusive and somewhat grail-like search for turning points: US, Stoxx and ES are currently under high stress – This uses relative price movements to show when the prices of a market get out of line with their peers (we got the idea here.) The gray lines measure stress. Stress is calculated as price moves relative Read more about Labs: Market Stress[…]
August Performance
Every day we put out a markets forecast – a group of quant-based trade set-ups – primarily for Equities, Fixed and Gold. This is how the Forecast has done (un-leveraged) – Acct Bal $1,000,000 Date $/contract %/contract Mar-12 $20,839 2.1% Apr-12 $8,958 0.9% May-12 $16,796 1.7% Jun-12 $21,020 2.1% Jul-12 ($1,378) -0.1% Aug-12 $6,338 0.6% Read more about August Performance[…]