The ACD Method

Maverick74 said:
It applies to everything. Crowded trades product excess variance. Variance lowers your risk adjusted return by definition (it's in the denominator). You are looking for "signal extraction" with the least amount of variance in your trade. That's where alpha comes from. Everything else is just adding leverage to index.
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So Maverick, for FX would e.g. the crosses be better than the majors in terms of being less crowded for example?

The thing I'm trying to do with US equities is I want them to be optionable, volatile, and liquid. Not sure if I can find some smaller stocks that are the same as GOOG, TSLA etc in those qualities, it seems like even some other big companies like pharmaceuticals have option spreads that are much worse than GOOG. Maybe it's a bad idea to do this, I dunno.

I'm actually from Singapore, I wonder if I should look into Asian markets for equities too, people have said before the Asian hours seem to be less machine-dominated than the Euro + US hours for FX IIRC, maybe the same is true for equities. OTOH, sometimes I find the Asian session for FX can be very flat, not much volatility.

I'm still a newbie, hope my questions are not too stupid. I graduated a few months ago and am interviewing at a few local prop firms now.
 
It might seem obvious to you guys but I just realised something after thinking over Maverick's post:

The trading range between the A Ups and Downs is the expected variance for the day, given the volatility of the security. When an A level is actually confirmed, that's a sign that there is something "under the hood" that is driving the price either up or down. So that's where the power of ACD lies -- helping you see if there is a signal under the daily variance.
 
Apollonius said:
So Maverick, for FX would e.g. the crosses be better than the majors in terms of being less crowded for example?

The thing I'm trying to do with US equities is I want them to be optionable, volatile, and liquid. Not sure if I can find some smaller stocks that are the same as GOOG, TSLA etc in those qualities, it seems like even some other big companies like pharmaceuticals have option spreads that are much worse than GOOG. Maybe it's a bad idea to do this, I dunno.

I'm actually from Singapore, I wonder if I should look into Asian markets for equities too, people have said before the Asian hours seem to be less machine-dominated than the Euro + US hours for FX IIRC, maybe the same is true for equities. OTOH, sometimes I find the Asian session for FX can be very flat, not much volatility.

I'm still a newbie, hope my questions are not too stupid. I graduated a few months ago and am interviewing at a few local prop firms now.
More...
OK I feel very dumb now, I just found more than few stocks which have pretty good volatility and liquidity but are not TSLA, Netflix etc. I haven't found anything that is not talked about on Twitter yet, but it's a start. :D
 
So the idea that a guy gets paid money to pick who should manage your funds who also gets paid to pick the stocks which are then charged a transaction fee are not able to actively trade and beat a passive equity portfolio with no transaction costs and management fees - what a shocker ! How many times do investors need to learn that random markets still producer losers after fees. But the managers get to keep their salaries/bonus from last year and start all over again with a new group of suckers.

The $1.8 billion Senfina, which allocated money among a group of 11 portfolio managers, lost 6 percent last month alone, Bloomberg reported in December. It was a short-lived experiment for Blackstone, which started Senfina in 2014 as its first in-house, multi-manager fund.
 
Apollonius said:
It might seem obvious to you guys but I just realised something after thinking over Maverick's post:

The trading range between the A Ups and Downs is the expected variance for the day, given the volatility of the security. When an A level is actually confirmed, that's a sign that there is something "under the hood" that is driving the price either up or down. So that's where the power of ACD lies -- helping you see if there is a signal under the daily variance.
More...

Example ?
Google hits A daily down at "xx"...... and..

Thnx
 
I've started to take a look at energy spreads recently, and can't figure out why Brent/WTI curves are flat >6 months out. OPEC's cutting now, not in 6 months and even then who knows if they keep the cut in place.

As far as I can tell, crude isn't seasonal like RB or NG, so for example CLV7-X7 shouldn't be trading at parity. Gulf Coast hurricane? That doesn't explain Brent.

I can see the front end of Brent/WTI is fairly steep, so no concerns about production there. Anyone with an energy background care to comment?
 
jj90 said:
I've started to take a look at energy spreads recently, and can't figure out why Brent/WTI curves are flat >6 months out. OPEC's cutting now, not in 6 months and even then who knows if they keep the cut in place.

As far as I can tell, crude isn't seasonal like RB or NG, so for example CLV7-X7 shouldn't be trading at parity. Gulf Coast hurricane? That doesn't explain Brent.

I can see the front end of Brent/WTI is fairly steep, so no concerns about production there. Anyone with an energy background care to comment?
More...

The entire curve has flattened in WTI and Brent except the very front end. This is because producers are aggressively hedging their forward production in the swaps market. The tone is that they don't believe the cuts will hold so they are selling as much forward as they can and in turn have flattened the curve. Brent is tighter than WTI since we still have so much production from shale. The cost of moving those molecules from Cushing to the Gulf has gone up which can be seen in the HTT spread (WTI Cushing to Houston Ship Channel). The arb between WTI and Brent will be reflected in the marginal cost of moving molecules into the Gulf which prices more off of Brent then WTI.
 
Apollonius said:
So Maverick, for FX would e.g. the crosses be better than the majors in terms of being less crowded for example?

The thing I'm trying to do with US equities is I want them to be optionable, volatile, and liquid. Not sure if I can find some smaller stocks that are the same as GOOG, TSLA etc in those qualities, it seems like even some other big companies like pharmaceuticals have option spreads that are much worse than GOOG. Maybe it's a bad idea to do this, I dunno.

I'm actually from Singapore, I wonder if I should look into Asian markets for equities too, people have said before the Asian hours seem to be less machine-dominated than the Euro + US hours for FX IIRC, maybe the same is true for equities. OTOH, sometimes I find the Asian session for FX can be very flat, not much volatility.

I'm still a newbie, hope my questions are not too stupid. I graduated a few months ago and am interviewing at a few local prop firms now.
More...

You don't want to pick crosses generically, as you seem to want to do.

A crowded trade is crowded because the whole world sees it and jumps in, not because it is a particular symbol or cross. A strengthening USD and a weakening JPY was the obvious trade, but you could have traded those characteristics separately.

Re the Asian session for FX, don't waste your time unless you want to trade a data release, which I don't recommend. I start trading from the London open and usually call it a day mid way into the US session.

I live in Asia too, but I have the benefit of being a night owl. I used to live US hours, then with FX I switched to UK/US hours. If you can't manage that you could start trading at 1400 SG time and call it a day typically 0100 or so. If you've made enough, you could quit early, if you're managing a trade, you might have a late night. If you are the type who sleeps at 2000, I have no suggestions.
 
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