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40in20out
The Real Time Trend Trading Experiment -- An Academic Project to publish CTA Trend Beta
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40in20out proslijedio/la je tweet
Annie Duke 4. velj
I can’t wait for this from !
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40in20out 4. velj
Last week's low in the takes on added importance as the lowest low of the past 20 days. Follow the dynamic protective trailing stop at for indications that this move may finally be drawing to a close.
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40in20out 1. velj
C'mon. Next they'll be throwing Martin Armstrong back in jail...
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40in20out 27. sij
The hypothetical model to generate Beta now has 10 shorts and 13 longs. This diversification helped to offset today's "backing and filling" on long-held equity long positions. Follow trades from cradle to grave:
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40in20out 27. sij
Speaking to the power of in a , despite being long equities, many accounts may well have been up on the day. It was actually Copper and Cattle which were the most "active" instruments as measured vs 20-day ATR
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40in20out 27. sij
Few things say "Pandemic breakout" as Copper, reversing from a long to a short in 3 trading bars. Keep tabs on this trade from cradle to grave at
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40in20out 24. sij
Fixed Income breaking out to the upside again? Simple benchmark model getting back in... Follow hypothetical trades from cradle to grave at
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40in20out 23. sij
Tried the upside in Crude... Now, some may be also willing to try the short side as the model takes a position below the lowest low of the past 40 days.
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40in20out 15. sij
Here is what a trillion dollars in gets you we suppose... Daily chart of S&P 500 and a simple model still long from Oct 25 breakout as volatility remains very low. May wish to advance protective sell-stops to lock in profit. Follow @
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40in20out 8. sij
A 6.9 StDev event by at least one measure. We compare the day's range of each instrument to its 20-day ATR. Next, we take the avg of the entire portfolio using data from every minute over 6 years. Today was highest reading of the dataset.
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40in20out 8. sij
You will be hard-pressed to find a day that is this volatile as Crude now hits 5.2x a "normal" day's range.
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40in20out 8. sij
Busy day. Crude hit 4 times a "normal" day's range today, expressed as 400% of a 20-day "Average True Range" in our model seen on this table. Consider following along in 2020 here:
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40in20out 7. sij
Keep an eye on this potential 40-day breakout in For reference, the 20-day ATR is about $300.
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40in20out 31. pro
Long positions in Bean Oil and Coffee lead the performance of the hypothetical benchmark model in December, estimated at +6.46% after commissions and fees.
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40in20out 25. pro
It always seems to be the NY markets which cause strange problems handling null values: Day +0.57%, MTD +3.20% YTD -9.55% Santa is in his shop making repairs...
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40in20out 10. pro
3 steps and stumble?
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40in20out proslijedio/la je tweet
Annie Duke 3. pro
"Be agnostic, adaptive, open, truthful to yourself and a student for life. This should compound both knowledge and wealth." Thank you for the great summary of , Quantified Strategies .
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40in20out 3. pro
WHEW -- That was close! (to the lowest low of the past 20 days) long Naz position survives the day by a hair, but cannot take another day like the past 2... Follow along for RT alerts and never miss another trend:
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40in20out 3. pro
Just to recap developments, this beleaguered measure of portfolio strength has been running almost solely on the equities for the past month. The past couple of days has damaged at least short term and possibly longer term hopes there, too.
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40in20out 3. pro
What we're watching today: the 20-day low from Nov 6 in the Naz... Our extraordinarily simple benchmark is patient enough to wait for this level to be breached in order to trigger a liquidation of longs and lock in profits.
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