November Performance of Real Time Advisory Service Annual: +21.8% Max DD: -3.5% Sharpe: 4.8 Profitable: 13 of last 13 months I am always looking for new clients for the Advisory service. It has been traded with $40m and scales easily into the $200m range. An overview is here. We’re good, innovative and friendly – no reason Read more about November Performance of Real Time Advisory Service[…]
“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[…]
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…
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
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[…]
P&L’s turn faster than historical data. That matters. –h
“Once I was able to see probability as the intensity of belief…” From ‘The Joy and Martyrdom of Trying to Be a Bayesian” –h
GDP = C + I + G + (X – M) The change in GDP is just the change in the components. Consumption is about 70% of the equation, Investment 16%, Government 20% and Exports – Imports -4% With weigthings the equation looks like this after dropping Exports and Imports as having little effect: GDP Read more about Quick Tip: How to Build Your Own GDP Forecast[…]
Here’s a simple model for forecasting the closing price of the SP Cash based on the coincident annual change in price of the 30 year Bonds and VIX. Since the annual changes for Bonds and VIX aren’t available yet, the annual change as of 12/6 was used as a proxy. The Result? A 19% year-end Read more about Forecasting SP Closing Price for 2011[…]
Trend Day Forecast historical results covering the past 12 months are available. Accuracy was 69% over all timeframes in the SP futures. About 2 set-ups per day, average +1.5 pts. Call or drop a note to request a copy, –h Henry Carstens 503-701-5741 carstens@verticalsolutions.com