march april screwing history

[Brendan R]

first, it started with a piece of research saying one should buy the close/after hours and sell at the open the next day. One should have done excatly the opposite.

futures were systematically pushed lower after hours to suck in intraday short sellers during european hours.

2 hours into european open, futures would start rising and these intraday traders would need to buy back. They were decimated.

Then it was it the quant's turn. Because we all know what the signals are for the quant models, it was very easy to inflict them maximum pain by buying what they would short and selling what they would buy. When you have unlimited ammo, it's a no brainer. At the time quants funds had no inflows, they couldn't fight. Quant funds lost 20% in April.

Now, it's the turn of CTAs. We've reached a point where MAs are crossing and long term trend CTAs have started reversing. All these long term CTAs were short index futures, it's buyback time.

How did they do it?
unlimited ammo, crashing the vix, ETF "hedging",...

Very very well planned and perfectly executed. A lesson in market manipulation.

What next guys?

 

[nazzdack]

Quote from Brendan R:
What's next guys?

It should be obvious. After you offset your losing position(s), your brokerage firm will tell "The Funds" to move the market in the direction you wanted it to go originally.

 

[bidask]

Quote from Brendan R:
Then it was it the quant's turn. Because we all know what the signals are for the quant models, it was very easy to inflict them maximum pain by buying what they would short and selling what they would buy. When you have unlimited ammo, it's a no brainer. At the time quants funds had no inflows, they couldn't fight. Quant funds lost 20% in April.

what are their signals? am i the only one who doesn't know lol?

 

[bidask]

Quote from Brendan R:
Now, it's the turn of CTAs. We've reached a point where MAs are crossing and long term trend CTAs have started reversing. All these long term CTAs were short index futures, it's buyback time.

what period ma and what time frame are you looking at?

 

[Brendan R]

94 and 28 MA are a good proxy for long term CTA positioning. Good signals will capture moves over a 12/15 months timeframe. Whipsaws will occur over 3 months periods. I think we're entering into a whipsaw period.

 

[Brendan R]

Quote from bidask:

what are their signals? am i the only one who doesn't know lol?

for a good understanding of quant trading, I suggest the Litterman book "modern investment management - an equilibrium approach".

Most of the quant models that have been stuffed in April derive their approach from Litterman's equilibrium approach.

On the web you should be able to find some good info on what happened in the summer 2007 and the over exposure of quants to the same factors.

FYI, Litterman works for GS' quant group. Cliff Asness from AQR is also ex GS. He used to run the quant group there. Lots of guys with the same background and same ideas.

 

[bidask]

Quote from Brendan R:

94 and 28 MA are a good proxy for long term CTA positioning. Good signals will capture moves over a 12/15 months timeframe. Whipsaws will occur over 3 months periods. I think we're entering into a whipsaw period.

on daily bars? how exactly did you choose 94 and 28?

 

[bidask]

Quote from Brendan R:

for a good understanding of quant trading, I suggest the Litterman book "modern investment management - an equilibrium approach".

Most of the quant models that have been stuffed in April derive their approach from Litterman's equilibrium approach.

On the web you should be able to find some good info on what happened in the summer 2007 and the over exposure of quants to the same factors.

FYI, Litterman works for GS' quant group. Cliff Asness from AQR is also ex GS. He used to run the quant group there. Lots of guys with the same background and same ideas.

i'm pretty sure this books doesn't have anything revealing. you said everyone knows the signals.

btw, didn't gs global alpha have a huge drawdown in summer 2007?

 

[Brendan R]

Quote from bidask:

on daily bars? how exactly did you choose 94 and 28?

yes, on daily bars. this is just a proxy for trend following signals that you can use to approximate trend followers positioning.

 

[Brendan R]

Quote from bidask:

i'm pretty sure this books doesn't have anything revealing. you said everyone knows the signals.

btw, didn't gs global alpha have a huge drawdown in summer 2007?

well, it tells you a lot about the way quants think. When you know what others will do, well, that's invaluable info.