Kudos to MMs

Quote from Maverick74:

That's two data points. Not exactly statistically significant.
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I am too lazy to do it, but that rule has been valid for the last 6-8 or so months. Plenty of data points...
Actually, it has been valid since Nitro actually made a profit... :)

Edit: One quick example from March 9th, just before the market took a nosedive:

Quote from nitro:

Premarket, so must be taken with a grain of salt, but still highly unusual. FV is above where SPX projects open when futures taken into account!

FWIW: SPX 1321.82. FV 1335.12.
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By the inverse rule, he should have shorted it, making plenty of money...

As I said, plenty of data points....
 
Quote from nitro:

Calibrated FV, 1140.88. FV 1290.68.

Remember, the difference between FV and Calibrated FV (CFV) is that CFV attempts a correction term to FV that attempts to value the probability of a recession. When the chance of recession is 0, CFV will converge or even go above FV, what people will term "Risk on".

Some people have suggested that the best estimate of "FV" is not the ends, but the average of the two, or "FV" = (FV - CFV) / 2. That is an interesting idea. Recall that a simple moving average if a FIR

http://en.wikipedia.org/wiki/Finite_impulse_response_filter

and we can back out the weights by the following equation:

SPX = xFV - yCFV

where x, y are the weights of some FIR average. That is more sophisticated than a simple MA, and may be worth backing out every day.
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I think backing out those weights (basically a simultaneous equation), doesn't provide any new information you can't get from a graph and looking at 3 points.

Why do you think markets are of finite response? I will argue the opposite.
 
FV has collapsed further. Calibrated FV, 1102.36. FV 1240.77. Mid 1171.56.

Added S Sep ES 1186.25. Wanted short at 1192, but bawked.
 
Quote from nitro:

FV has collapsed further. Calibrated FV, 1102.36. FV 1240.77. Mid 1171.56.

Added S Sep ES 1186.25. Wanted short at 1192, but bawked.
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You're just flipping the coin here. If BO says something tonight that the markets endorse, you will be turned into ground beef. It could always go your way but you have ZERO edge long or short on this.
 
Quote from nitro:

Calibrated FV, 1086.63. FV 1221.77. Mid 1154.20.
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I am buying this...10 years after 9/11, and we are still around. It is reason to celebrate. Optimists win, terrorists lose!
 
I am debating where to take some profits. All FVs are imploding, but life has taught me the hard way to take some profits along the way. Logic dictates some at 1150 and some at 1142, but if we go through 1142 this is going to 1100 with a pit stop at 1120. That is a bunch of loot to leave behind...

For now, I think I will just enjoy
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