Are Two (Uncorrelated) Edges Better Than One?* Our results pre- and post- Market Stress, our second edge: All Market Stress Change Avg 67.61 93.04 38% Std dev 1042.9 299.79 -71% llt (8640.00) (1000.00) -88% w/l ratio 0.83 0.65 -21% win pct 60% 78% 31% f 0.11 0.45 303% f$ 76591 2200 -97% z 2.32 2.22 Read more about Are Two Edges Better Than One? #idea[…]
Trade Tiers: Tier 1: Two or more independent edges, e.g., quant + Market Stress Tier 2: A single edge Tier 3: A seasonal –h
A good year w/ some nice momentum going into 2014 behind our latest innovation Market Stress, Current win rate: 78% Average annual return (unleveraged): 8.6% –h Full pdf is here.
Vertical Solutions Forecast – Innovations and October P&L A summary of innovations (Market Stress, Trend Day/Range Day forecasting) and the October and cumulative P&Ls, –h Henry Carstens Vertical Solutions cell: 503-701-5741 mail to: carstens@verticalsolutions.com www.verticalsolutions.com ———- Innovations Expect more trades that exit based on Market Stress retracements from overbought/sold back to neutral (+/-1) Expect more Read more about Innovations and October P&L[…]
Strategies Attacking Strategies: Entries Defending Strategies: Exits Risk Strategies: Position Sizing –h
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
Scrambling to catch up here’s June Performance. July and August should be up tomorrow. –h
Markets tend to stay w/in their ranges when the indicators below have ‘Neutral’ readings – ES Trend Indicator: +56 (Neutral), Financial Markets RORO: +0.04 (Neutral) Correlations: Neutral Signals – The Trend Day Forecast currently has signals across Intraday, Swing, Multiday and Overnight timeframes in – Bonds (Long) Bunds (Long) Gold (Long, Automated Long) –h Henry Read more about [Rangebound Day] Feb 01, 2013[…]
The average monthly single contract gain from The Forecast is $9,385. In November we added coverage for Corn, Copper and Crude. The Forecast now covers US, Bund, ES, Stoxx, Gold, Corn, Copper and Crude. Highlights: November return: +0.1% Unleveraged return (annual): +12.6 % Max drawdown: -2.6% Percent wins: 62% t score: 2.78 (Forecast results are Read more about November Performance[…]
For October, the set-ups in The Trend Day Forecast were correct 70% of the time and grossed $8,629 per contract. The average monthly single contract gain from The Forecast is $10,318. At the end of the month we added and are sending the set-ups from 5 new automated systems in Bund, Stoxx, Bond, SP and Read more about October Performance[…]