Kudos to MMs

[nitro]

Quote from shortie:

NF should have accounted for $trillions. Every number that is somewhat relevant to the market and that is known should be in the model as i understand it. because the model accounts for EVERYTHNIG.

what about the information that is no widely known? let's say Ben is planning to print $300B and his secretary leaks the info to a a few hegies. then the hegies start quietly to accumulate shares. is the model supposed to detect this via price-action?

I agree, and in theory it was in the model. What is not in the model is the Money Multiplier, something that the market actually underestimated initially, I think, and then overshot it later when it tried to catch up, imo.

The new FV is terrific (because I am winning?). I just would love to see a hard down market to see that it does well in symmetric markets, and another huge buying spree, to see how well it keeps up, or God forbid, leads it. You saw FV lead the market down on the flash crash, something that was incredible. If it did that on the upside, I would be hugely encouraged.

You guys already know the weakneses of the model, and when the market feels like it is going ballistic again, just be cautious if you are using it, until it gains your confidence. In modest markets, it kills it.

 

[nitro]

Quote from Maverick74:

Nitro, my reason for posting this was a followup to the great post by Rearden. At the end of the day, I really believe you are giving the market an almost godlike quality in your search for the holy grail. Ironically the holy grail in literary terms being the cup Christ drank from at the Last Supper. What the market really is though is what Rearden said, just people buying and selling stuff. That's all. And for all we know, the holy chalice may just be that, an ordinary cup.

Your refusal to acknowledge this may well prove to be your doom. Because if the market is just ordinary people buying and selling stuff, then the further you go into this quant land, the further you remove yourself from these ordinary market participants. Listen to Rearden Nitro.

Maverick74,

I appreciate both you and RMs concern. I think both of you are way off base, but your intent is all that matters to me, and I know you mean well.

 

[nitro]

Here is a suggestion for you Maverick, use FV as a bias, then using your system, find those stocks that also show that same bias. You know what I mean. I am guessing it does better than using your raw system. And btw, it is the last piece of your puzzle to be 100% auto. It would remove you as a subjective interpreter of the system.

You may not like that, but if it truly works, you could scale to the entire market, since there is no way you could do that now with just your eyes.

 

[nitro]

Projected FV is 1205.64, and I am L ES from 1199.25.

There isn't enough edge from a theoretical POV because SPX would open at about 1202 here, and we need >7 edge to enter a trade, but I wanted to give it a shot since I know my model tends to underestimate to the upside. We'll see....

First time I am long ES in I don't know how long. I suggest you don't follow me in, although you know what they say about beginners luck ;-)

 

[Maverick74]

Quote from nitro:

Here is a suggestion for you Maverick, use FV as a bias, then using your system, find those stocks that also show that same bias. You know what I mean. I am guessing it does better than using your raw system. And btw, it is the last piece of your puzzle to be 100% auto. It would remove you as a subjective interpreter of the system.

You may not like that, but if it truly works, you could scale to the entire market, since there is no way you could do that now with just your eyes.

Nitro, I appreciate the suggestion, but as you know, it's generally not wise for one to follow someone else's system unless they understand it forward and backwards. The reason for this is two fold. One, they will abandon it as soon as it falters. And two, they will never be able to trade with size and conviction with something they don't understand.

Also, how would one use FV to scale the entire market? FV is S&P based. Are you saying you can use the fair value of the s&p to trade oil, gold and Corn?

 

[nitro]

Quote from Maverick74:

Nitro, I appreciate the suggestion, but as you know, it's generally not wise for one to follow someone else's system unless they understand it forward and backwards. The reason for this is two fold. One, they will abandon it as soon as it falters. And two, they will never be able to trade with size and conviction with something they don't understand.

Also, how would one use FV to scale the entire market? FV is S&P based. Are you saying you can use the fair value of the s&p to trade oil, gold and Corn?

No I mean the entire stock market, certainly the SPX components.

Why don't you post your system daily and weekly bias for ES (or SPX I forget what you use), and let's see if FV + your system together are better than each other seperately.

 

[Maverick74]

Quote from nitro:

No I mean the entire stock market, certainly the SPX components.

Why don't you post your system daily and weekly bias for ES (or SPX I forget what you use), and let's see if FV + your system together are better than each other seperately.

Sure, I'll post the relevant levels in the ES and SPX. Although your system seems to be more a mean reversion system and mine is more momentum and trend following but regardless I'll post them.

 

[nitro]

Quote from Maverick74:

Sure, I'll post the relevant levels in the ES and SPX. Although your system seems to be more a mean reversion system and mine is more momentum and trend following but regardless I'll post them.

Then explain your targets.

 

[Runningbear]

Quote from nitro:

It is asymetric now, FV has an upward bias to it in the core equation, and it comes in naturally. And you want to know what is funny? IT STILL DOESN'T WANT TO BUY BECAUSE IT IS TERMINALLY BELOW SPX!

Outside of just saying, FV = FV + 30 handles (this is programmer speak for, add thirty handles willy-nilly to whatever FV model spews out), I can't put in anything that makes it go above SPX!!! It is really bizarre. I am hoping to see FV go above SPX sometime in my lifetime, otherwise something is missing. What I can't imagine at this point, but something.

Maybe its telling you that the SPX is overvalued. The COT is currently showing a negative bias.

 

[nitro]

Quote from Runningbear:

Maybe its telling you that the SPX is overvalued. The COT is currently showing a negative bias.

It has been saying that it has been overvalued for a long time. The "FV" models, as I think "dont"realized and mentioned, had a history of doing well, and then getting stuck permanently down while SPX went higher strongly. That is where the "paranoia" comes from.

I truly believe that I have fixed many of these problems, but the market is the ultimate arbiter. I have two killer ideas that may still make it into a future version of FV, but they just give me better timing, not necessarily better levels. As I write this, FV and SPX would be very close together, and you may have missed an earlier post, but projected FV is actually above what SPX would open at tomorrow and I took a "trial ballon" trade (small size) to get a feel for the position.