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Here is a new indicator I came up with, not sure if someone did it before me. But if take the S&P500 returns AFTER a decline of 6-7% all the way to the next decline of 6-7% and compound it to a capital base, you will get a capital multiple. That is, how much would your capital have grown in...

I solved the problem with the formula =DEGREES(ATAN(LINEST(J4:J5))) J4 is the Price 1 and J5 if the subsequent price in which I want to see the angle. Its working quite well in terms of showing me when a parabolic move is happening

Pot stocks played out as expected, buy before the catalyst, sell at the catalyst (sell the news). Except they took a few more days to really implode, that made me mess up the short trade (made only small profits). My big mistake was not using CGC NBEV TLRY put options. That would make easier to...

There are some issues with using these indicators in my dataset (a lot of stocks go parabolic quite early in the data so there is not much time to calculate previous results for the indicators). What I was thinking was to convert the stock price over a certain period of time into an angle, the...

I'm trying to develop a system that is long something until the price goes parabolic. I have had no luck with that Parabolic SAR, is there any indicator designed to measure price acceleration?

For oustide observers it seems crazy that Brazil will elect Jair Bolsonaro as president in about 1 week, a man who has made many crazy and inflamatory statements in the past. A lot of foreign people are criticizing him and saying that Brazil voters are out of their mind. If you are a foreign, it...

It certaintly does look like deep risk. However, I would point out that you have to factor in dividends and adjust those prices for the deflation rates. In terms of real total returns it will probably look less bad (though still prob still pretty bad). I dont have Japan financial data in my...

Hi, where did you get that chart? Tks

But I dont like the description that Deep risk leads to a 'permanent loss of capital'. Even Greek stock investors dont have a permanent loss, eventually (if you give enough time, say 20-30 years) they will make their money back (in the majority of the cases). But they did suffer a large loss...

Good Article https://awealthofcommonsense.com/2018/10/the-worst-kind-of-bear-market/ "Either way, these numbers highlight the different types of risk investors can experience. In his book Deep Risk, Bill Bernstein describes two different types of risks in the financial markets: Risk, then...

Leon Cooperman makes the point that US equities are priced at 16x fwd PE vs 15x historical when historical rates were around ~5-6% vs the current ~2-3%. So he says that the market can withstand an increase in rates. That seems right to a degree, but where he is wrong is in the fact that the US...

From my initial tests it looks like this is not worth pursuing. Usually, for most systems I tested the lower the kelly fraction the better that ratio is. So if someone wanted to maximize for that, they would just bet a really tiny amount that wouldn't be worth if at all. In general it seems that...

I agree. From my monte carlo simulations, using 1/2 Kelly doubles the return/median DD (CAGR/Median DD) ratio while cutting returns by 33%. So it looks like a good choice. Something that I need to research going forward is to find the optimal kelly fraction that maximizes that ratio...

In my simulations I did find that the median drawdown improves a lot (less than half) with 1/2 kelly vs full kelly. But since the max DD needs to happen only once to have it be computed, at some point (in the super long-run) there will be an unlucky streak that will lead to a big drawdown. I...

From 1967 to 2017 the US Debt to GDP ratio grew from 39% to 103.5%. I did a quick analysis to see how much of that happened due to recessions. It turns out that 51% of that jump were associated with recessions. I did this by seeing how much did the debt to GDP ratio grew during recession periods...

I was thinking about this, I believe this is more of a function of what the government wants to issue. If the Treasury decided only T-Bills were worth issuing, the public would own 100% in T-Bills. Same thing with T-Bonds. Afterall, even if I want to own 2y notes, if they dont exist then I cant...

Currency and coins per capita have grown at a CAGR of 6.25% since 1965. Kinda interesting, you would think that because of debit/credit cards and things like paypal it would have grown less

UST securities held by the public, % of total Tags: Bonds, bills, tips

The R-Square between the deficit and debt to GDP ratio is only 0.17

It doesnt like it is that, that accounts for the discrepancy. It sounds like that big figure its coming from writedowns and revaluations from property, plant and equipment. Those are non-cash charges and that deficit and the yoy increase the debt held by the public is not really affected by...