Black Every Day?

noddyboy said:
Why be Smart when dumb people buy SPY and make money? Sigh...

Were you short SPX, or was it other stuff?
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Every trade I was in went really bad. Other stuff...

However, it looks like I have a bug in my thinking. I don't mind losing when I realize my mistake and I can right the ship [assuming I am not kidding myself]

Beware of boundary conditions <- oversimplification but that's the gist.
 
nitro said:
Every trade I was in went really bad. Other stuff...

However, it looks like I have a bug in my thinking. I don't mind losing when I realize my mistake and I can right the ship [assuming I am not kidding myself]

Beware of boundary conditions <- oversimplification but that's the gist.
More...

Citadel -8% YTD
Millennium -2.7% Feb.
Other black boxes not doing well
 
noddyboy said:
One of my models seems to be tracking Millennium and is down most days in the past month.
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I understand what is going wrong at least with my approach. But other than a regime shifting into pure momentum at what are extreme rates, well, I don't know how to do it. With a small account, it is tantamount to risking blowout.

But there is no question in my mind that individual markets are trading almost purely momentum with almost zero inter/intra market causation. For example, oil was at 27 and now at 40, or a 50% rise. In contrast, the US$Index was around 99 ish at the same time and now at 95 ish. That is a 5% difference. So, either oil was horribly wrong at 27, or the US$Index is wrong today, or oil is at 40. In contrast, gold has moved about 15%. What logical driver could have such wide dispersion?

Then, contrast the SPX, which was at 1810 not long ago with a VIX of 35. Now, the VIX is at 16 ish, with the underlying stocks having moves that are blowing out vola traders (I blew out an account that traded relative vola in 2009 in a similar regime that we are seeing today). All momentum based under the hood that cannot be seen above the hood at the SPX.

Huge dislocations, all momentum driven. I don't know what the world is trying to re-calibrate to. Maybe really bad liquidity is the "culprit".
 
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nitro said:
I understand what is going wrong at least with my approach. But other than a regime shifting into pure momentum at what are extreme rates, well, I don't know how to do it. With a small account, it is tantamount to risking blowout.

But there is no question in my mind that individual markets are trading almost purely momentum with almost zero inter/intra market causation. For example, oil was at 27 and now at 40, or a 50% rise. In contrast, the US$Index was around 99 ish at the same time and now at 95 ish. That is a 5% difference. So, either oil was horribly wrong at 27, or the US$Index is wrong today, or oil is at 40. In contrast, gold has moved about 15%. What logical driver could have such wide dispersion?

Then, contrast the SPX, which was at 1810 not long ago with a VIX of 35. Now, the VIX is at 16 ish, with the underlying stocks having moves that are blowing out vola traders (I blew out an account that traded relative vola in 2009 in a similar regime that we are seeing today). All momentum based under the hood that cannot be seen above the hood at the SPX.

Huge dislocations, all momentum driven. I don't know what the world is trying to re-calibrate to. Maybe really bad liquidity is the "culprit".
More...

"What logical driver could have such wide dispersion?"

The only thing I can think of is hedge funds liquidating for the end of the quarter, and companies not buying back shares due to earnings lockup, creating random patterns for supply/demand.
 
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