That hedge ratio is not constant nor fixed so be very careful relying on a fixed ratio for all time. I have run many correlation and regressions of ES v. VX front months and the hedge ratio kept changing as the market changes. I came up with a central more common ratio but it would have to be adjusted based on market conditions and amount of hedge I wanted. In other words despite all the science it still came down to art.
Is it possible to know when ES Futs could make a big move based on General info
- Thread starter traderwald
- Start date
That hedge ratio is not constant nor fixed so be very careful relying on a fixed ratio for all time. I have run many correlation and regressions of ES v. VX front months and the hedge ratio kept changing as the market changes. I came up with a central more common ratio but it would have to be adjusted based on market conditions and amount of hedge I wanted. In other words despite all the science it still came down to art.
Is it possible to know when ES Futs could make a big move based on General info?
Yes - set up a sell program when Trump sends out a Tweet with the keywords 'trade wars', 'raising', 'additional'. That will be good for a 400 Dow point plunge since everybody knows that nobody wins a trade war - except for the idiot Trump.
Yes - set up a sell program when Trump sends out a Tweet with the keywords 'trade wars', 'raising', 'additional'. That will be good for a 400 Dow point plunge since everybody knows that nobody wins a trade war - except for the idiot Trump.
I'm more shocked to discover that there are algo's out there doing exactly that. Someone a few years ago here at ET talked about the specific trading firms doing such.
wrbtrader
You are a funny guy. And no, I am not after "likes". I am after accuracy. Your 2 lengthy posts did not help much to clarify and instead confused the situation further. But lets leave it at that.
Just for the record, I did not say no such study exists (vix forecasts spx). I said that no credible study exists that is factually backed up by solid numerical analyses. One can find some "internet mention" on any position one chooses, does not mean it is credible in any way.
Just for the record, I did not say no such study exists (vix forecasts spx). I said that no credible study exists that is factually backed up by solid numerical analyses. One can find some "internet mention" on any position one chooses, does not mean it is credible in any way.
There are studies out there that used statistics in their "claim" but they been written off as bias, not enough data and inacurrate by others in academia.
My point, there are studies out there although you believe they do not exist.
In contrast, I claim they do exist but they have no merits with me because I have argue in the past with friends from NYU that the studies were manipulated. Some in academia mainly did the stats during high volatility market conditions when the VIX showed it can be used as a predictor of the market direction.
In some of the studies that were debated...they used result phrases in the studies like "robustly outperform" or "substantially improve forecast accuracy".
Regardless whether we believe the results in the studies...the studies do in fact exist. That's my entire point.
On a side note, there are people actually monitoring how President Trump tweet commentary impacts the market. I wouldn't be surprise if there will soon be academic studies about the impact of his tweets on the market considering there are sources out their keeping a close watch and rumor that social media algorithms are trying to exploit the markets via his tweets.
https://www.bloomberg.com/features/trump-tweets-market/
wrbtrader
Why shocked at that? You would be shocked how some of those firms TODAY interpret and trade on sentiment and social network data.
This is a service you can pay for. I looked into it early last year. I forget the details, but Mr. Gumby is correct.
I'm not debating that it does not exist...
I'm shocked that it does exist and I've discover about such from other ET members in which I follow up on it to see if it was b.s.
I've discover its true...there are algos out there that does such. I'm a believer now although that's not what Mr. Gumby was talking about involving social media algorithms.
Although I'm a little confused about what you meant by its a service that you can pay for. You talking about social media algorithms or something else ?
wrbtrader
Yeah, I now am a believer beyond people pointing out to me a few tweets by someone that the market monitors as important that had a direct impact on the financial market price performance.
Geeesh...they make algorithms to exploit anything in the markets...just crazy.
I'm sure one day someone will come along to say about those social algorithms that no credible study exists that is factually backed up by solid numerical analyses (sarcasm)
Sorry for the sarcasm...I'm in a private debate with someone else that said there's "no factual evidence" that today's price drop was related to President Trump's tweet about additional tariffs on China.
wrbtrader
Last edited:
Thanks...but...
How would I use that to prove to someone that wants factual evidence that today's tweet by President Trump impacted the market performance in the S&P 500 ?
I'm being funny by the way when someone ask for factual evidence although I believe one day there will be legitimate studies to prove such regardless to the fact that I was watching real time news when the tweet hit the market and then I saw in real time how the market suddenly (understatement) reacted to the tweet although there was an outside chance the other guy in the debate that stated it was "pure TA selloff"...nothing to do with a tweet.
wrbtrader