first off no change for the SPY and ES mean reversion systems
none of them are exiting yet
regarding the volatility systems: GS which went long on 8/3 is
closing out today, AAPL is taking a long. longer term AAPL has real
problems with that symmetry break, but eventually I'd expect a
lower high bounce so more than likely the system trade will exit on
that
for the ETF's QQQ is long from Friday, and EEM is taking a
long
SPY and ES mean reversion and Volatility systems update
Posted by matt on 7th of Aug 2023 at 03:04 pm
first off no change for the SPY and ES mean reversion systems none of them are exiting yet
regarding the volatility systems: GS which went long on 8/3 is closing out today, AAPL is taking a long. longer term AAPL has real problems with that symmetry break, but eventually I'd expect a lower high bounce so more than likely the system trade will exit on that
for the ETF's QQQ is long from Friday, and EEM is taking a long
I added the 12 volatility
Posted by matt on 7th of Aug 2023 at 03:17 pm
I added the 12 volatility systems to the spreadsheet - gives a clean way to see what's open at a glance
Hi Matt, can you share
Posted by kevindeng0727 on 7th of Aug 2023 at 03:30 pm
Hi Matt, can you share a link for the spreadsheet again? Sorry I must have missed it.
https://docs.google.com/spreadsheets/d/1AqyA8soe-1icblBICYF3KVAbXzoZ6EYbiy_ec90i01Q/edit?usp=sharing
Posted by matt on 7th of Aug 2023 at 03:33 pm
https://docs.google.com/spreadsheets/d/1AqyA8soe-1icblBICYF3KVAbXzoZ6EYbiy_ec90i01Q/edit?usp=sharing
docs.google.com
SPY and ES system trades for 2022 - Google Sheets