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Critics will say how is it possible to lose money in 2019 whereas stocks, bonds and gold did nothing but rise.

EDIT: is it safe to say 21' = 21% of a $100k notional value so from -21' to -20' = $1000?

How to read the value for a steepener trade such as: long 1x\ZT short 1x\ZN? Currently the spread is trading at -21'22'4 What if it gets at -21'00'0 ? Thanks

This is all time high. Buying pressure is obvious. Yet, who is selling? Market never traded at this level. Nobody did buy those shares at this price before. On the sell side I see little short sellers and those who bought the market at lower price some time ago (Roll Over). There's unvisible...

This FOMO must influence passive investors mostly. A systematic trader would just jump on the market nontheless and set a stop loss to a % of risk.

This might sound bizarre; does it make sense to apply trend following rules (short term breakouts) to V2X front month futures even though the underlying is mean reverting by nature? V2X futures tend to go 'down the stairs' (contango) and 'up the elevator' (volatilty spike). Positive skew rules...

Vol is quite a bit higher on the further out? Thanks ever so much

GAT I would like to add this question about your blog post on futures and minimum capital requirement. Basically, below 10000 EUR only V2X (VSTOXX) futures can be traded. I fully agree with this. Yet, how about relative value (statitical arb) trades? Long /ZT short /ZN (2s10s curve...

Those are rules about risk, position sizing and volatility. TurtleTraders than traded trendfollowing rules within this structure as they were fully systematic.

How does that change should I pyramide (adding to the winners)? Let's go back to a few weeks ago when SPY was at 301.60 and average true range at 7.76 I buy 6 shares at 301.60 = $1809.6 (18% of my capital) Stop loss is at 286.08 (2 times ATR = 15.52). I will add one more unit of risk (1%)...

SPY etf last close price $311.81 ATR is 'average true range' indicator to calculate SPY volatility (I like this better than standard deviation). Currently is at 6.81 2 times ATR is 6.81 x 2 = 13.62 so my stoploss will be at $311.81 - 13.62 = $298,19 My trading capital is $10000 and I am...

Total Market Cap vs GDP reached 146.30% today. Sep 30, 2018 was at 146%. Market is getting closer to Mar 30, 2000 148.50% all time high. Bullish sentiment is above 40% for the fourth times over the past 52 weeks. https://ycharts.com/indicators/us_investor_sentiment_bullish Minsky moment...

My unit of risk per bet is 1% of my capital. Volatility determines how I should dimension the trade (2xATR). That normally results in a 20% equity being traded. Is that basically the 'annualized volatility target' mentioned in Systematic Trading? Since I am trading trend following rules...

"the extent to which U.S. economic indicators exceed or fall short of consensus estimates. An economic report with better-than-expected news is assigned a value of 1; a report with worse-than-expected news is assigned a value of -1; a report meeting expectations gets a 0 value. Add up the values...

Surprise Index about to go below zero.

Year-to-date gold is going up, so are treasuries (rates going down) and the stock markets. There is one too many.

https://ycharts.com/indicators/us_investor_sentiment_bullish US Investor Sentiment, % Bullish is at 35.60% July 30 was at 38.44%, Sep 18 at 35.34%

Federal Reserve lowered borrowing costs by 25bps in July 30 and September 18 and the stock market dropped days later. I wonder what happens should they lower rates for the third times today. Does the market prefer cheap money better then growth?

Global liquidity proxy

Actual corporate profits in divergence with the stock markets