Labs: Market Stress Sept 13, 2013

Posted on September 14, 2013September 14, 2013 by hcarstens

Near Term Market Stress as of close Sept 13, 2013. High Stress (potential turning points) in: US, ES, Stoxx, Russell

Win Loss Ratio #idea

Posted on September 12, 2013September 11, 2013 by hcarstens

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

Posted on September 11, 2013September 11, 2013 by hcarstens

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[…]