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 $4,431 Read more about Quick P&L’s, January and To-Date[…]
Are Two (Uncorrelated) Edges Better Than One?* Our results pre- and post- Market Stress, our second edge: All Market Stress Change Avg 67.61 93.04 38% Std dev 1042.9 299.79 -71% llt (8640.00) (1000.00) -88% w/l ratio 0.83 0.65 -21% win pct 60% 78% 31% f 0.11 0.45 303% f$ 76591 2200 -97% z 2.32 2.22 Read more about Are Two Edges Better Than One? #idea[…]
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[…]
Post-FOMC long term market stress. Markets with high stress levels tend to reverse but timing is hard. The main idea behind Market Stress is that in market with high stress levels, there is more risk in the current direction of the trend and more opportunity in the opposite direction. In the chart below, the stress Read more about Market Stress – Post FOMC[…]
Near Term Market Stress as of close Sept 13, 2013. High Stress (potential turning points) in: US, ES, Stoxx, Russell
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
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[…]
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