Equities, Pre-Market Trend Odds: 43% 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.
Risk Pre-Market Trend Odds: 1% The current odds that equities, fixed, commodities and currencies will move and trend together today. The idea is that risk increases with the number of markets that are concurrently trending. Live trend odds (here) track the number of markets currently trending within a sample of markets. The higher the odds the Read more about [Risk] Pre-Market Trend Odds: 1%[…]
Equities, Pre-Market Trend Odds: 22% The current odds the equity markets will trend today. The Equity Trend Indictor can be helpful in validating/calculating current trend odds. It is a summation of the trend odds of the 200 highest volume stocks. Combine with Live Trend Odds, a measure of the number of futures markets that are Read more about [Equities] Pre-Market Trend Odds: 22% #spy #es[…]
Risk Pre-Market Trend Odds: 1% The current odds that equities, fixed, commodities and currencies will move and trend together today. The idea is that risk increases with the number of markets that are concurrently trending. Live trend odds (here) track the number of markets currently trending within a sample of markets. The higher the odds the Read more about [Risk] Pre-Market Trend Odds: 1%[…]
I wonder what a plot of Edge signals over time would look like? Sine wave? Predator/Prey oscillator? I wonder if those plots would be predictive of other things… –h
How to independently verify any quant-based system without using or disclosing any proprietary information One of the biggest problems for prop shops, firms and hedge funds is independently verifying the results of quant-based systems and portfolio managers. Firms need to verify to invest but developers and pm’s don’t want to divulge their proprietary algorithms, their Read more about How to Independently Verify a Quant System #idea #alphastreamverification[…]
What is the ratio of immersion to profits? How to track? How to test? –h
How is an ‘Always In’ model better, different and/or more focused than a discrete long/short quantitative model? Where ‘Aways In’ may simply try to capture drift, Place for options? Vig kills? Continuous vs discrete, … –h
Lacrosse fall season started last night and I got a note from son’s mom: Son is best player on field! Son has worked and practiced hard over the last year, I am proud and happy for him. I get a second note from mom: Son signed up for wrong league, playing against kids 2 grade levels Read more about [Saturday Ideas] How Does a Quant Practice? #idea[…]
Trend Following with Mean Reversion Keep a list of markets that are trending (however one likes to define trending) Use a favorite reversion strategy to buy/sell pullbacks from the trend That way you will be trading in direction of the trend, but perhaps using a strategy with a bigger edge – because now you are trading Read more about Trend Following with Mean Reversion #idea[…]