40in20out

@40in20out

The Real Time Trend Trading Experiment -- An Academic Project to publish CTA Trend Beta

Chicago
Vrijeme pridruživanja: siječanj 2014.

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  1. Prikvačeni tweet
    11. stu 2019.
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  2. 1. velj

    C'mon. Next they'll be throwing Martin Armstrong back in jail...

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  3. 27. sij

    The hypothetical model to generate Beta now has 10 shorts and 13 longs. This diversification helped to offset today's "backing and filling" on long-held equity long positions. Follow trades from cradle to grave:

    , , i još njih 6
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  4. 27. sij

    Speaking to the power of in a , despite being long equities, many accounts may well have been up on the day. It was actually Copper and Cattle which were the most "active" instruments as measured vs 20-day ATR

    , , i još njih 6
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  5. 27. sij

    Few things say "Pandemic breakout" as Copper, reversing from a long to a short in 3 trading bars. Keep tabs on this trade from cradle to grave at

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  6. 24. sij

    Fixed Income breaking out to the upside again? Simple benchmark model getting back in... Follow hypothetical trades from cradle to grave at

    , , i još njih 5
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  7. 23. sij

    Tried the upside in Crude... Now, some may be also willing to try the short side as the model takes a position below the lowest low of the past 40 days.

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  8. 15. sij

    Here is what a trillion dollars in gets you we suppose... Daily chart of S&P 500 and a simple model still long from Oct 25 breakout as volatility remains very low. May wish to advance protective sell-stops to lock in profit. Follow @

    , , i još njih 3
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  9. 8. sij

    A 6.9 StDev event by at least one measure. We compare the day's range of each instrument to its 20-day ATR. Next, we take the avg of the entire portfolio using data from every minute over 6 years. Today was highest reading of the dataset.

    , , i još njih 3
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  10. 8. sij

    You will be hard-pressed to find a day that is this volatile as Crude now hits 5.2x a "normal" day's range.

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  11. 8. sij

    Busy day. Crude hit 4 times a "normal" day's range today, expressed as 400% of a 20-day "Average True Range" in our model seen on this table. Consider following along in 2020 here:

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  12. 7. sij

    Keep an eye on this potential 40-day breakout in For reference, the 20-day ATR is about $300.

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  13. 31. pro 2019.

    Long positions in Bean Oil and Coffee lead the performance of the hypothetical benchmark model in December, estimated at +6.46% after commissions and fees.

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  14. 24. pro 2019.

    It always seems to be the NY markets which cause strange problems handling null values: Day +0.57%, MTD +3.20% YTD -9.55% Santa is in his shop making repairs...

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  15. 10. pro 2019.
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  16. proslijedio/la je Tweet

    "Be agnostic, adaptive, open, truthful to yourself and a student for life. This should compound both knowledge and wealth." Thank you for the great summary of , Quantified Strategies .

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  17. 3. pro 2019.

    WHEW -- That was close! (to the lowest low of the past 20 days) long Naz position survives the day by a hair, but cannot take another day like the past 2... Follow along for RT alerts and never miss another trend:

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  18. 3. pro 2019.

    Just to recap developments, this beleaguered measure of portfolio strength has been running almost solely on the equities for the past month. The past couple of days has damaged at least short term and possibly longer term hopes there, too.

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  19. 3. pro 2019.

    What we're watching today: the 20-day low from Nov 6 in the Naz... Our extraordinarily simple benchmark is patient enough to wait for this level to be breached in order to trigger a liquidation of longs and lock in profits.

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  20. 29. stu 2019.

    After running our academic project every minute of every trading day for nearly 6 years, has finally pushed the S&P 500 VAMI over Trend Index VAMI. Price Stability Mission Accomplished. Bad news for long vol, long gamma strategies.

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  21. 29. stu 2019.

    Hypothetical performance based on our academic project was -0.90% in Nov and -18.47% YTD. Since this benchmark is about twice as 'frothy' as most real trend performance we observe, don't be surprised to see some -9% YTD reports out there.

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