Combine the live odds equities are trending given by the Equity Trend Indictor with the live odds ‘all’ markets are trending Live Trend Odds for the current probability today is a trend day. Both are Peer Effects models. (Note: The Live Trend Odds webpage is currently down for an upgrade – almost finished!) ———— Trend Days and Rangebound Days are Read more about [Equities] Pre-Market Trend Odds Week of March 28 #es #spy[…]
Thursday, March 24 Risk Pre-Market Trend Odds: 33% Note: The Live Trend Odds web page is currently down for an upgrade to the model Wednesday, March 23 Risk Pre-Market Trend Odds: 24% Note: The Live Trend Odds web page is currently down for an upgrade to the model Tuesday, March 22 Risk Pre-Market Trend Odds: Read more about [Risk] Pre-Market Trend Odds, Week of March 21[…]
Combine the historical Trend Odds with the Equity Trend Indictor (live odds equities are trending) and the Live Trend Odds (the live odds ‘all’ the markets are trending) for the current probability today is a trend day. This is another peer effects model. Friday March 4 Pre-Market, historical Trend Odds for equities are 36%. Thursday March 3 Pre-Market, historical Trend Odds for Read more about [Equities] Live Trend Odds Week of Feb 29 #spy #es[…]
Friday, March 4 Risk Pre-Market Trend Odds: 16%, post-Employment number Thursday, March 3 Risk Pre-Market Trend Odds: 8% Wednesday, March 2 Risk Pre-Market Trend Odds: 16% Tuesday, March 1 Risk Pre-Market Trend Odds: 24% Monday, February 29 Risk Pre-Market Trend Odds: 24% The current odds that equities, fixed, commodities and currencies Read more about [Risk] Pre-Market Trend Odds Week of Feb 29[…]
Friday February 26 Equities, Pre-Market Trend Odds: 34% The current odds the equity markets will trend today. The Equity Trend Indictor can be helpful in validating this. Combine with Live Trend Odds to gauge strength of current move. Thursday February 25 Equities, Pre-Market Trend Odds: 13% The current odds the equity markets will trend today. The Read more about [Equities] Pre-Market Trend Odds Week of Feb 22 #spy #es[…]
Equities, Pre-Market Trend Odds: 23% The current odds the equity markets will trend today. The Equity Trend Indictor can be helpful in validating this. Combine with Live Trend Odds to gauge strength of current move.
Strategy Performance Risk Adjusted, Out-of-Sample Annual: +24.9% Max DD: -3.5% Sharpe: 5.7 Profitable: 12 of last 12 months I am looking for a new home for this strategy. It has been traded with $40m and scales easily into the $200m range. Inquiries and referrals appreciated. A Strategy overview is here, –h Henry Carstens 503-701-5741 carstens@verticalsolutions.com
I’m looking for a home for my quant strategy. It has been traded with $40,000,000 over the last 7 months but needs to grow. Out-of-sample results for last 11 months are: Annual return: +24.8% Max DD: -2.6% Sharpe: 5.6 Strategy primarily trades Bonds, Bunds, SP, Stoxx futures and is scalable to $200 million without worrying too Read more about Strategy, +24.8%, -2.6% MDD, Sharpe 5.6, Looking for Home[…]
Vertical Solutions Forecast Performance thru August 2014 (out-of-sample ) Annualized un-leveraged return: +16.3% Max intraday drawdown: -4.3% Sharpe Ratio: 3.4 Profitable 11 of last 11 months (see Monthly Returns, below) Monthly Returns In October of 2013 we developed some really nice Overbought/Oversold math that helps maximize expectation and minimize risk. This math, called Read more about August P&L[…]
Quick Summary Market Stress has helped Our Trend Day predictions are getting better We combined Market Stress and a Trend Day prediction to identify the recent market turn Since Market Stress the Forecast set-ups have been correct 77% of the time Since Market Stress, October 2013-p Market Stress, Oct 2013-p Gross $4,431 Read more about Quick P&L’s, January and To-Date[…]