Posted by sonofrebel on 27th of May 2020 at 02:19 pm
I have traded a lot of these types of systems with Larry Connors
- they naturally struggle with VIX levels we have. Have only
thought that a VIX filter would be a good idea to turn off the
systems or reduce position size. Don't know if you have tried
that Matt.
Posted by sonofrebel on 2nd of Mar 2020 at 10:04 am
Agree on keeping systems - you have fully shared stats with us -
it is our responsibility for the trades and the results. Data
included in TradeStation report for largest losing trade, e.g
trend/pullback was $440.22 but max intra-trade draw-down would be
helpful in understanding "max pain", at least in the past.
Interesting that they have not got to that point yet.
As others have said, excellent newsletter with review of past
sell offs - thanks.
Well I noted they changed the definition but did not expect
that to go up. Seems a silly change to me as a layman - if
all they are doing is looking for symptoms of lung irritation, the
surely it will overlap with flu/pneumonia/bronchitis? (but I
appreciate it will be quicker to get treatment to those who may be
affected.) In any event, it makes tracking the numbers a
false errand and so I will stop reporting them here.
What I will continue to watch is non-Chinese cases and
death/recovery ratio>
Now they have updated the site to show log data, you can use
that as best source of trends once this spike in new definitions
works its way into the data.
Posted by sonofrebel on 12th of Feb 2020 at 08:45 am
You are welcome - problem with ST, and I have thoroughly tested
it with their backtrader, is that it is very hard to find
predictive value in downward forecasts as the market goes up 70%+
of the time. What you cannot distinguish are mild pullbacks
and real doozies - best rule I have seen came from Ian Woodward,
sadly deceased now, that once a drawdown exceeds 8% off the highs,
the market can go anywhere - up to that point, the odds are in your
favor to buy the dip.
1. Decline continues - re-thinking definition change, that
may be less of a deal than I initially thought; sure they can't
test all 40k to see if they have it, they have to just get on with
treatment assuming they have it.
2. Outside US shows no sign of accelerating
3. Recoveries outpace deaths still, but would expect
recoveries to accelerate soon
Posted by sonofrebel on 11th of Feb 2020 at 08:55 am
Definition changed?
South China Morning Postreported that "hundreds of
thousands of workers" returned to work on Monday, attempting to
allay fears about the impact of prolonged closures. The number of
confirmed coronavirus cases in China exceeded 42,000 with the death
count surpassing 1,000. Chinese health officials changed the
definition of a "confirmed case" to exclude asymptomatic patients
who tested positive for the virus, according to
Apple Daily.
Posted by sonofrebel on 11th of Feb 2020 at 07:46 am
Virus update
1. Rate of decline in "official" Chinese numbers continues to
decline
2. Cases outside China going up with no predictable trends
established in data; risk remains as to how many "silent"
carriers have arrived in foreign countries that could cause
pandemic reaction.
3. Mortality rate ticks up - albeit recent analysis by
experts suggests real mortality rate may be lower than previously
thought (~1%)
Again with caveat that these are "official" numbers of which
many are skeptical, what do they show:
1. Continued decline in growth rate overall
2. Numbers outside China remain low; they was a tick up in
growth that may be subsiding; these numbers are most critical as
they are presumably "good" numbers if you doubt Chinese reporting
and a secondary growth would indicate growing infections are the 14
day incubation period. Stay tuned.
3. Mortality ticked up a little but recoveries still
outpacing deaths albeit at declining growth rate - would be nice if
recoveries began to accelerate.
Posted by sonofrebel on 7th of Feb 2020 at 07:53 am
1. Decline continues (although Taiwan Strait Times begs to
differ as Matt shared)...time will tell. Funny ( but not "funny" -
just odd coincidence) I had 31500 as place holder for continued
decline and it came in as 31,522. I have 34,000 for a
continued decline tomorrow.
2. Outside China still small - although I do note they have 2
cases in UK - now actually 3 (2 Chinese students and someone who
caught it in Singapore and not Mainland China)
3. Death rate stays low for now and recoveries growing 3x
deaths
Posted by sonofrebel on 6th of Feb 2020 at 07:26 am
Virus latest update
1. Growth rate has slowed on last data point - assuming data ok
that is, but this looks more reasonable to me.
- contrast arithmetic view on left with linear view in middle -
press (and website) showing arithmetic which is misleading; growth
rate has slowed now for 10 days
2. No significant cases outside US and not growing.
3. Survivors growing over deaths as expected; also now
true of Hubei which is "ground zero" where there are 549 deaths and
699 recoveries.
Latest stats attached:
1. Day over day growth stuck at 20% - is this a real number
or are they declaring a steady growth to catch up with prior
under-reporting is a question in my mind? Still no
acceleration at least if numbers are correct (and to be fair, I
could imagine some noise in the data in the circumstances here)>
2. Best news - still no acceleration in overseas cases
3. No increase in mortality rate and recoveries growing at 2x
rate of deaths
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Pretty sure I saw analogs
Fantastic Nasdaq analog charts for 2020 and 2000 ~ 2007 ...
Posted by sonofrebel on 16th of Dec 2020 at 04:16 pm
Pretty sure I saw analogs like this in 1999 that were forecasting doom and missed the last 9 months....
Longer term Bull Bear View
Posted by sonofrebel on 19th of Nov 2020 at 08:35 am
Longer term Bull Bear View
I have traded a lot
hey Matt- didn't ES breakout trigger Long?
Posted by sonofrebel on 27th of May 2020 at 02:19 pm
I have traded a lot of these types of systems with Larry Connors - they naturally struggle with VIX levels we have. Have only thought that a VIX filter would be a good idea to turn off the systems or reduce position size. Don't know if you have tried that Matt.
TVIX hit 1000.00 exactly -
VIX charts
Posted by sonofrebel on 18th of Mar 2020 at 01:54 pm
TVIX hit 1000.00 exactly - now 877
Max pain for SPY by
Posted by sonofrebel on 18th of Mar 2020 at 10:51 am
Max pain for SPY by Friday at 302 . Not a prediction, but there are a lot of puts to make worthless....
Apologies - intended to be
Update on 60 min SPX and VIX
Posted by sonofrebel on 17th of Mar 2020 at 01:00 pm
Apologies - intended to be a humourous not a critical comment - will add smiley face next time (if there is one) :)
"Looking better and better" -
Update on 60 min SPX and VIX
Posted by sonofrebel on 17th of Mar 2020 at 11:38 am
"Looking better and better" - a pretty low bar to be honest
Agree on keeping systems -
Here's some thoughts on the reversion to mean system trades
Posted by sonofrebel on 2nd of Mar 2020 at 10:04 am
Agree on keeping systems - you have fully shared stats with us - it is our responsibility for the trades and the results. Data included in TradeStation report for largest losing trade, e.g trend/pullback was $440.22 but max intra-trade draw-down would be helpful in understanding "max pain", at least in the past. Interesting that they have not got to that point yet.
As others have said, excellent newsletter with review of past sell offs - thanks.
Virus
Posted by sonofrebel on 13th of Feb 2020 at 07:41 am
Virus update
Well I noted they changed the definition but did not expect that to go up. Seems a silly change to me as a layman - if all they are doing is looking for symptoms of lung irritation, the surely it will overlap with flu/pneumonia/bronchitis? (but I appreciate it will be quicker to get treatment to those who may be affected.) In any event, it makes tracking the numbers a false errand and so I will stop reporting them here.
What I will continue to watch is non-Chinese cases and death/recovery ratio>
Now they have updated the site to show log data, you can use that as best source of trends once this spike in new definitions works its way into the data.
https://gisanddata.maps.arcgis.com/apps/opsdashboard/index.html#/bda7594740fd40299423467b48e9ecf6
Finally, semi log charts on
Posted by sonofrebel on 12th of Feb 2020 at 03:01 pm
Finally, semi log charts on John Hopkins virus site...
You are welcome - problem
Sentiment Trader
Posted by sonofrebel on 12th of Feb 2020 at 08:45 am
You are welcome - problem with ST, and I have thoroughly tested it with their backtrader, is that it is very hard to find predictive value in downward forecasts as the market goes up 70%+ of the time. What you cannot distinguish are mild pullbacks and real doozies - best rule I have seen came from Ian Woodward, sadly deceased now, that once a drawdown exceeds 8% off the highs, the market can go anywhere - up to that point, the odds are in your favor to buy the dip.
but not by much and
Sentiment Trader
Posted by sonofrebel on 12th of Feb 2020 at 08:40 am
but not by much and not often :) They don't post this bit on twitter...
Virus
Posted by sonofrebel on 12th of Feb 2020 at 08:02 am
Virus stats
For those who believe the numbers:
1. Decline continues - re-thinking definition change, that may be less of a deal than I initially thought; sure they can't test all 40k to see if they have it, they have to just get on with treatment assuming they have it.
2. Outside US shows no sign of accelerating
3. Recoveries outpace deaths still, but would expect recoveries to accelerate soon
politicians of all stripes -
Definition changed?South China Morning Post reported that "hundreds of thousands ...
Posted by sonofrebel on 11th of Feb 2020 at 10:00 am
politicians of all stripes - ideology notwithstanding
Definition changed? South China Morning Postreported
Posted by sonofrebel on 11th of Feb 2020 at 08:55 am
Definition changed?
South China Morning Postreported that "hundreds of thousands of workers" returned to work on Monday, attempting to allay fears about the impact of prolonged closures. The number of confirmed coronavirus cases in China exceeded 42,000 with the death count surpassing 1,000. Chinese health officials changed the definition of a "confirmed case" to exclude asymptomatic patients who tested positive for the virus, according to Apple Daily.
Virus update 1. Rate of decline
Posted by sonofrebel on 11th of Feb 2020 at 07:46 am
Virus update
1. Rate of decline in "official" Chinese numbers continues to decline
2. Cases outside China going up with no predictable trends established in data; risk remains as to how many "silent" carriers have arrived in foreign countries that could cause pandemic reaction.
3. Mortality rate ticks up - albeit recent analysis by experts suggests real mortality rate may be lower than previously thought (~1%)
Virus
Posted by sonofrebel on 10th of Feb 2020 at 07:18 am
Latest Virus data trends
Again with caveat that these are "official" numbers of which many are skeptical, what do they show:
1. Continued decline in growth rate overall
2. Numbers outside China remain low; they was a tick up in growth that may be subsiding; these numbers are most critical as they are presumably "good" numbers if you doubt Chinese reporting and a secondary growth would indicate growing infections are the 14 day incubation period. Stay tuned.
3. Mortality ticked up a little but recoveries still outpacing deaths albeit at declining growth rate - would be nice if recoveries began to accelerate.
Virus Update
Posted by sonofrebel on 7th of Feb 2020 at 07:53 am
1. Decline continues (although Taiwan Strait Times begs to differ as Matt shared)...time will tell. Funny ( but not "funny" - just odd coincidence) I had 31500 as place holder for continued decline and it came in as 31,522. I have 34,000 for a continued decline tomorrow.
2. Outside China still small - although I do note they have 2 cases in UK - now actually 3 (2 Chinese students and someone who caught it in Singapore and not Mainland China)
3. Death rate stays low for now and recoveries growing 3x deaths
Virus latest update 1. Growth rate
Posted by sonofrebel on 6th of Feb 2020 at 07:26 am
Virus latest update
1. Growth rate has slowed on last data point - assuming data ok that is, but this looks more reasonable to me.
- contrast arithmetic view on left with linear view in middle - press (and website) showing arithmetic which is misleading; growth rate has slowed now for 10 days
2. No significant cases outside US and not growing.
3. Survivors growing over deaths as expected; also now true of Hubei which is "ground zero" where there are 549 deaths and 699 recoveries.
Virus Stats
Posted by sonofrebel on 5th of Feb 2020 at 07:12 am
Virus stats encore...
Latest stats attached:
1. Day over day growth stuck at 20% - is this a real number or are they declaring a steady growth to catch up with prior under-reporting is a question in my mind? Still no acceleration at least if numbers are correct (and to be fair, I could imagine some noise in the data in the circumstances here)>
2. Best news - still no acceleration in overseas cases
3. No increase in mortality rate and recoveries growing at 2x rate of deaths