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
Author: hcarstens
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[…]
P&L’s Turn Faster Than Historical Data #idea
P&L’s turn faster than historical data. That matters. –h
Bayes
“Once I was able to see probability as the intensity of belief…” From ‘The Joy and Martyrdom of Trying to Be a Bayesian” –h
Factories #idea
Build factories by combining stocks in an industry that cover the broadest spectrum of the industry, i.e., exploration, research production and delivery. Test the performance of the factory against the performance of the individuals. Build best factory and worst factories for a pairs trade. –h
What We’re Working On #idea
This post from R-Bloggers on the Bradley-Terry model for forecasting outcomes of head-to-head match-ups is interesting. Think highly and inversely correlated markets or stocks, –h
June Performance #Performance
Scrambling to catch up here’s June Performance. July and August should be up tomorrow. –h
Market Stress #idea
Our measure of risk and opportunity in several markets: Market Stress, August 30, 2013 Purely qualitative at this point Based on the ideas found here. –h