What the volatility futures it’s roll over is hinting on market’s view

Since 2008, anyone who's observant knows once VIX - the weighted average implied volatility for SP500 well diversified components based on CBOE model and calculations - exceeds 20, it hints at market fear of Financial market correction or correlation breakdown, where both correlation and volatility spikes. 20 means the expected daily market movement for the …

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A simple view of sector rotation

Continuing when my previous post here, market cycles leads economic cycle. This article aims to give a brief descriptive (not predictive) overview of how asset managers shift their exposure to sectors - according to the current style of investment, say, growth strategy - where expectations of future earnings revision are very positive - or in defensive …

What the treasury yield curve is telling us for 2017? Where are we in a sector rotation cycle now?

We heard the news. Trump's opponents argued that his protectionist will bring back jobs to native Americans, but endanger America's position as the leader of technology and finance in the world. Trump's protectionist policies left ex-trade partners pondering if "US treasury would be really risk free" once Trump invades the Fed community with people sharing the same ideology as …

Prototyping and backtesting trading strategies naively (in python) with descriptive plots

The fastest way to test the profitability of a trading model generating signals is to do a simple backtest (which means no hindsight biases i.e at least 1 period of timeframe lag from signal even if you timeframe is in milliseconds) using historical time series. actual returns = absolute return (no hindsight biases to signal) - …

First Post – Some quirky ideas on price geometry

Many have understood the downsides of historical dervied indicators, that is, having no predictive value. People started to do forecasting with many sophisticated models - those that believe volatility is persistant, cyclical, mean reverting, and conditional variance on sound economic rationale underlying the move (MDE), or simply regressing on itself with some memory of its …