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Quant Time

by MoleJanuary 13, 2012

Here is a Volar Quant update. This is daily data since 2002, and a form of conditional statistics. I have ~ 10 conditions below-  and here is the results for the filter of the ~10 sentiment conditions.

FWIW there looks to be some downside risk to this market- especially 1 month from now- which also jives with most seasonality metrics. The avg.max gain was 1% with the avg. max loss of 5% in less than 21 trading days. To me that is a 5:1 risk to reward to the downside- but we only have 4 data points….

*** This is a 3rd update- but that is what happens when I have no life and a nice new fun algo to compute all of this crap.

FYI: I added definitions to the statistical symbols below- hope that helps.

Your quant boy – Volar.


About The Author
Mole
Mole created Evil Speculator amidst the chaos of the financial crisis in early August of 2008. His vision for Evil Speculator is a refuge of reason, hands-on trading knowledge, and inspiration for traders of all ages and stripes. You can follow him and his nefarious schemes at various social media waterholes below.
  • http://practicalt.blogspot.com/ Gold_Gerb

    The Bullish Percent was negative today (after close of course).
    not big enough to draw a red renko block.
    Best to Listen to Mole.  Cash is good.

    http://stockcharts.com/h-sc/ui?s=$BPSPX&p=D&yr=0&mn=1&dy=0&id=p99855346069 

    -GG

  • volar

    : )

  • Fearless

    Good post, Volar. We’re currently sitting inside the 6% opex period gain bar on the graph I posted a few days ago, so odds still favor a reversion to the median (1.55% or approx. 1240) on opex day. Bears f—ed up today.  Let’s see if they get help on Monday and Tuesday.

  • Anonymous

    http://content.screencast.com/users/AMCabrera/folders/Jing/media/edd57977-ac0f-4cb3-ae8c-4fea2fedb486/2012-01-13_1818.png
    http://content.screencast.com/users/AMCabrera/folders/Jing/media/ee3cd5d0-1408-4271-b6f2-5868c164a52a/2012-01-13_1815.png
    http://content.screencast.com/users/AMCabrera/folders/Jing/media/5e20b402-2d45-4051-aba0-c1b08997b56e/2012-01-13_1942.png
    http://content.screencast.com/users/AMCabrera/folders/Jing/media/f613934e-6012-4649-87b9-2c49c79c9644/2012-01-13_1853.png
    http://content.screencast.com/users/AMCabrera/folders/Jing/media/72c79928-e125-44c7-b353-ac36c596297f/2012-01-13_1854.png
    http://content.screencast.com/users/AMCabrera/folders/Jing/media/cfb75185-c90d-4fbf-a2c9-3e0d04866548/2012-01-13_1858.png
    http://content.screencast.com/users/AMCabrera/folders/Jing/media/52879bf7-2d52-4544-9f53-515db45c8c50/2012-01-13_1911.png
    http://content.screencast.com/users/AMCabrera/folders/Jing/media/a826a942-0d39-4f2d-9150-cd02a1e80890/2012-01-13_1920.png
     I will point out the large red oval. The refusal for price action to clear it is not good. I tweaked the original red oval extending it to today. At best, we know volatility is coming our way and we have skittish bears and bulls at this level.  I provided a 2 yr bond spread between Spanish bonds and German bunds, for those wondering why I kept saying it looks like money markets are cracking. Well technically not money markets, its capital markets (longer than one year) but you guys know what I mean. The cracking between the French and German debt started a long time ago, back in Sept. You can see there is tension obviously, Italy being the worse. I wanted to share this because on top of me thinking EUR/GBP is a important pair for equities. I always keep track of the 10 year yield spread between Gilts and Bunds. I was betting on UK gilts to lose some of it luster against German Bunds. It did not and cracked during November, you see that beginning of 2011 it tried to break but it didn’t and during April it is where it topped off (EUR/GBP) and by May it worsen. Sorry for the long post but hey long weekend for you to digest. Luckily London and Europe will be open, I love trading..Have a great weekend everyone!!

  • Anonymous

    what I also what to point out is that I’m sure many retail folks are waiting for the EURO to collapse but as you can see bond markets have long discounted this event.

  • http://practicalt.blogspot.com/ Gold_Gerb

    Terry Laundry’s confidence indicator (weekly).
    Did we cross the median into positive territory?……DENIED!

    http://stockcharts.com/h-sc/ui?s=FAGIX:VUSTX&p=W&yr=2&mn=0&dy=0&id=p21621449214

  • Anonymous

    Nice little chart there GG! I like the idea behind it. But umm that was awfully close to .666 uh? lol no really nice share.

  • Anonymous

    One more thing, Germans do not deserve this shakedown from the S&P, simply extortion to make them commit more to the EFSF..So sleazy of them to do it like this. Downgrading all except the most important triple AAA member. 

  • http://practicalt.blogspot.com/ Gold_Gerb

    2011 in Review.
    ‘Easy Time/Hard Time’
    http://i43.tinypic.com/bf0s51.png
    -GG

  • http://twitter.com/Scrillhound Scrillhound

    Volar, how much value do you put on sharpe ratios?

    Cheers

  • Fibz

    SPX looks a bit like a triangle breakout.

  • Fibz

    overheard on the goldman sachs elevator:
    https://twitter.com/gselevator

  • volar

    Dependes. Def. Not too much with three data points lol. I am a big fan of side tho

  • http://practicalt.blogspot.com/ Gold_Gerb

    I couldn’t stop reading them!

    My wife is basically Pay-Per-View. 
    LOL.

  • Fibz

    “#1: This market is tough to read. #2: It’s like seeing a normal-looking guy with some fat chick. Just makes no fucking sense.”

  • volar

    updated data for the rats- hope u enjoy

  • volar

    ya i agree…

  • http://evilspeculator.com molecool

    VERY NICE! :-)

  • http://evilspeculator.com molecool

    “I just do not know if it is 1 week or 3 months”

    Let’s narrow that down a little – shall we? 😉

  • http://evilspeculator.com molecool

    I was just about to create a new category called ‘quant’ for you but you already beat me to it. Nice work mate.

  • http://evilspeculator.com molecool

    Volar – take a look at this annotated chart:

    http://content.screencast.com/users/evilspeculator/folders/Jing/media/607d865f-6fed-4840-9b7f-fe582af59a92/00003423.png

    I found the amount of STEV surprisingly small! Also can you explain what µ stands for in this context?

    I suggest you add a legend of the terms shown (if you like that is).

  • Anonymous

    Volar – I agree as usual. The only thing bothering me (and since I am euro short holding from the monthly retest variation sell at 1.40) is the extreme on Euro bearish sentiment.

    I’d appreciate your take on it, I have to admit being a little confused by the two opposite senitment extremes

  • Fibz

    1 week or 3 months… maybe a little of both.

  • volar

    u and me both bro….

    my guess is SPX/EUR might be the play….

    http://content.screencast.com/users/wprosser/folders/Jing/media/696f7dd9-3f27-43d8-a83b-0c47f87bc432/2012-01-15_1054.png 

    EUR to me needs a reason to buy- still a falling knife i guess

  • tradem4alpha

    Mole (or someone else) I know that you use Ninjatrader a lot, so do you know a good book to learn programming in Ninjatrader? I know that it uses the C# language, but are there any books (or extensive tutorials) to learn programming in Ninjatrader? I think this is the best platform out there (backtesting, trade performance; the price is good etc) but to use all it’s capabilities I really need to start from somewhere, so some advice will be well heeded. Thanks.

  • volar

    FYI added another update/definitions/more filters/ automated chart with dates

  • tradem4alpha

    And what’s the difference between the 3 methods of using it: Own, Lease, Free? I mean, the free version has all the capabilities of the owned version, but the difference (that I see) is the fact that you need a data feed? Is this the only difference?

  • volar

    ok just tried LOL

  • http://www.investingcontrarian.com fresbee

    Is this a break away or a breakout? Charts
    http://fnn24.com/?p=38097 

  • Kudos

    +1

  • Fibz

    they have a development section on their forum.

  • tradem4alpha

    Thanks.

  • Fibz

    there’s also a ninjascript reference in the help file which details all the classes & methods.

  • Anonymous

    I don’t think that mole i ok with you posting links to other blogs.

  • Anonymous

    Nice gaps on FX side. Playing to see if we get a fill here.

  • Anonymous

    Texbook gap fill so far on audusd

  • http://practicalt.blogspot.com/ Gold_Gerb

    /es  need to keep it above 50% (1286)

    http://i40.tinypic.com/2uikccg.png 

  • Anonymous

    darn it. barely missed my buy order at 1.2250. oh well not chasing. I will just let the 2350 handle stand.

  • Anonymous

    Just realised, monday is MLK holiday!

    No HFT trading for me tomorrow :-(

  • Anonymous

    Someone say some prayers for holders of Natural Gas!

  • Anonymous

    Forex buddy forex. Come on over to the dark side.

  • Fibz

    why’s that? (not holding, just curious)

    [edit] oh, nevermind… lol.

  • Anonymous

    Getting hammered for the past few weeks. Reminds me of cocoa trade setup by mole.

  • Anonymous

    Something to keep an eye on for the next few days. You could get a really good long entry with great reward/risk ratio.

  • Fibz

    agree.

  • Fibz

    on dailyfx they’re saying EUR/USD is still correlated with the MSCI ex US. only SPX has been veering off.

  • Anonymous

    My broker no do forex (been meaning to migrate to IB as a one-stop shop perhaps!)

  • http://evilspeculator.com molecool

    I’m still prepping those announcements – please be patient for a few more days.

  • Anonymous

    Ok :-)

  • Fibz

    chart

  • volar

    ya i hear ya bro

  • TwinTurboRX7

    Need ZFX update….are you ok now Mole?

  • http://evilspeculator.com molecool

    I’m still in a lot of pain – really fucked up my lower back – thanks for asking. ZeroFX – working on it – tried to launch it but I need to clean the data again. Sorry – hope it’ll be up soon.

  • Anonymous

    Options Max Pain: SPY is 125 (was 124 last week).  QQQ is 55. DIA is 120.  Looks like Max Pain is lined up with rev. to the Mean.

  • http://evilspeculator.com molecool

    ZeroFX – I’m having some kind of data problem over here. Have been trying to launch this this thing for several *hours* now – always fails. Will try again tomorrow as I think the data feed is not reliable.

  • http://www.investingcontrarian.com fresbee

    Ratings of EU countries. Why is S&P so different
    http://fnn24.com/?p=38352

  • http://evilspeculator.com molecool

    Okay, I got ZeroFX up and running – finally… only took five hours (no kidding).

  • Anonymous

    Volar’s
    signal points (wish I knew how he arrived at them) appear to correspond with
    key reversals, however not before some whipsaw action to clear out stops in
    both directions.  I have heard that a lot
    of the liquidity this few weeks has come from Asia.  With Chinese New Years on the 23rd
    it wouldn’t be surprising to see some fireworks that along with OPx week,
    careful of getting whipsawed by the dragon tail.  While everyone is fretting over the EU, I am
    keeping my eyes on Asia.

  • Anonymous

    Mole: I had a ruptured disc 6 months ago. I used the exercises in “Pain Free” a book by Pete Egoscue. Took about two weeks to feel better and 3 months to be back to normal.

  • http://evilspeculator.com molecool

    Oh shit!

  • Anonymous

    There’s ruptured discs and bulged discs, you need an MRI to know for sure.  Most times, it’s a strained muscle.  I feel for ya.

  • nyse

    This is good. Thanks man. Hope all is well.

  • Fibz

    hanging from pull-up bars as long as possible will take some stress off your lower vertebrae, just fyi.

  • http://practicalt.blogspot.com/ Gold_Gerb

    a strong 6pack abdomen helps the back, they work as a unit.

    http://www.prlog.org/11523916-real-six-pack-abs.jpg

  • http://iberianviews.blogspot.com/ catracho

    Try this ” The Trigger point therapy workbook” by Clair Davies  …Many back problems are actually muscle related…

  • Anonymous

    Entirely agree with Dr Ronebadger MD. Back problems can range from musular spasms, to more serious situations like ruptured or bulged discs (‘slip’ disc as it were), which also have muscle spasm as part of it. I think if you had an acute disc problem, you would be in severe pain and unable to get up, needing opiates for pain relief. Best to get medical check if serious pain.

  • http://evilspeculator.com molecool

    I’m in good shape – but tried a new exercise and are now paying for it.

  • http://evilspeculator.com molecool

    Mine too – I don’t have a ruptured disk – it’s a pinched nerve.

  • http://evilspeculator.com molecool

    I don’t have a ruptured disk – thank the evil lord. I can move without any pain but then tilt one half inch the wrong way and suddenly it’s like pushing the pain button – instant and very strong. Like an electric shock. It’s probably a pinched nerve and I’m icing the hell out of it. Fourth day now and that is an eternity in my book…

  • Anonymous

    Have you ever had acupuncture?  Can be very helpful

  • Anonymous

    I might be wrong in my info

    “Some people who have a slipped disc experience no obvious symptoms.
    This is usually because the part of the disc that bulges out is only
    small or may not be pressing on the nerves or spinal cord.
    However, most people who have a slipped disc will experience pain.
    The pain often begins in the lower back before sometimes spreading to
    other parts of the body.”
    http://www.nhs.uk/Conditions/Slipped-disc/Pages/Symptoms.aspx

    Anyway, hopefully you will be back to normal soon

  • Anonymous

    “MD” – that’s funny….

  • http://evilspeculator.com molecool

    Well, I did go to a pretty good chiropractor and he checked me out twice. If it was a ruptured disk I think he would have told me.

  • http://evilspeculator.com molecool

    I was considering it – if it doesn’t get much better this week then it’s off to China town.

  • Anonymous

    This worked for me 20 years ago to fix a bulged (not herniated) disc, diagnosed by MRI.  Still an excellent method for back rehabilitation.  Worth a 3 minute watch for anyone with lower back disc problems.

    http://www.youtube.com/watch?v=bPz9A4TWMCQ

  • http://evilspeculator.com molecool

    About 1:10 in I was thinking ‘hey, cool – some lesbian action’ but was sorely disappointed…

  • Anonymous

    EFSF downgraded !

  • http://evilspeculator.com molecool

    Damn, that AUD/JPY signal was just beautiful :-)

  • Anonymous

    Mole, your mail was so spot on:)

  • Anonymous

    Usually just in the background here but I’ll chime in. Severe back pain that lasts more than a couple days without much improvement is not a muscle. Muscle is highly vascular and heals faster. Just think of that last time you simply overused your leg muscles running or skiing – sore, than better in 2-3 days. You have an injury to the connective tissues, which may include the spinal ligaments, joint capsules, and/or disc. A disc lesion can be an annular tear, a herniation of the nucleus, or an extrusion. There are clinical signs of a disc lesions (orthopedic tests, pain patterns) but ultimately only an MRI knows for sure. However, you may have also had a pre-existing disc lesion that was aggravated, not caused, by your recent injury. Most people with degenerative spinal problems, including discs, have no symptoms until acute injury is overlaid. My advice: off/on ice (as you are doing) flat on your back with your knees up, mild cat/cow yoga stretch, back support when sitting at all times, and limit continuous sitting to 15 minutes. If you sprained your ankle severely, would you expect to walk on it a couple of days? Back is no different.

  • Anonymous

    UNG making all times lows doesn’t mean this is over.  The storage overhang I believe will push over 500 bcf/day with the report this Thursday.  At this point only a lengthy cold spell covering everything east of the Mississippi could make a dent in the biggest fundamental driver, how much gas remains in the ground before injection season starts.  I dont think this is the time to catch this knife.

  • volar

    UNG= Contango IMO

    And i agree with you for the most part- but the back of the board below breakevens, a 30x strip ratio, retarded OI, and nearing 200 true gas rig count (excluding liquids rig count) to me is a no brainer for spread trading

  • Anonymous

    That’s not even a big deal as its bonds traded at a sub-AAA level anyway. Not sure what all that fuzz is about.

  • http://evilspeculator.com molecool

    ¤ø„¸¸„ø¤º°¨¤ø„¸¸„ø¤º°¨ 
    ¨°º¤ø„¸  N E W  „ø¤º°¨ 
    ¸„ø¤º°¨ P O S T “°º¤ø„¸
    ¸„ø¤º°¨¤ø„¸¸„ø¤º°º¤ø„¸

  • Anonymous

    I know – just pointing out “news” :-)