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macrocephalopod's profile
macrocephalopod
macrocephalopod
macrocephalopod
@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    Two-way (sending and receiving) short codes:

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    1. NRI Inc‏ @NewRiverInvest 15 Feb 2021

      no way to know what happens overnight but it looks like by tomorrow morning bank stocks and long bonds will both be ~flat YoY and will have round-tripped essentially their entire pandemic shock.pic.twitter.com/rrostOxQBM

      1 reply 9 retweets 50 likes
      Show this thread
    2. NRI Inc‏ @NewRiverInvest 15 Feb 2021

      CTAs really pushing their luck with the long bond shorts. my guess is if you have a bunch of trades that are trending and killing it like dollar nikkei and RTY maybe you pick up some options on long bonds or some exposure outright to mix it up a little bit. nothing lasts foreverpic.twitter.com/ojipupX4w4

      1 reply 0 retweets 11 likes
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    3. NRI Inc‏ @NewRiverInvest 15 Feb 2021

      this is the kind of offsides positioning i really like. something like this is easy to scale into on long side and you have a guaranteed systematic buyer in the future as CTAs go flat or, if you are lucky, go flat and start going longpic.twitter.com/G9VIy0SYtc

      1 reply 0 retweets 8 likes
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    4. NRI Inc‏ @NewRiverInvest 16 Feb 2021

      good tweets now that its late: you shouldnt actually trade just the CoT on this. your measures should be a duration-weighted composite of the ultra AND bond futures, and you should also pay mind to the note and ultra 10s futures (as a separate indicator)

      1 reply 0 retweets 7 likes
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    5. NRI Inc‏ @NewRiverInvest 16 Feb 2021

      you can actually build a CoT curve that matches the key durations tracked by futures. thats what i use. anything shorter than 5s doesnt matter for CTAs though because end users are different, even 5s and 10s have residuals from mortgage hedging that make it noisy so br careful

      2 replies 0 retweets 5 likes
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    6. NRI Inc‏ @NewRiverInvest 16 Feb 2021

      NRI Inc Retweeted macrocephalopod

      enterprising follower front-running the thread. love to see it, happy to see you guys paying attention to the usual arc of the good tweets. a good CTA replication is just a time-series momentum strategy applied to a universe of liquid futures contracts + seasonality adjustmentshttps://twitter.com/macrocephalopod/status/1361619978752061442 …

      NRI Inc added,

      macrocephalopod @macrocephalopod
      Replying to @NewRiverInvest
      Even better - build your own model of CTA positioning based on recent trend and carry (fit it to past CoT data, can easily get ~80% R2) and then you have a three-day lead on the CoT publication dates.
      2 replies 0 retweets 5 likes
      Show this thread
      macrocephalopod‏ @macrocephalopod 16 Feb 2021
      Replying to @NewRiverInvest

      I just get so excited about posting 😅😅

      2:21 AM - 16 Feb 2021
      • 1 Like
      • NRI Inc
      0 replies 0 retweets 1 like

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