Sunday, January 13, 2019

Delta Neutral Update and Momo vs MR for QLD

The market's been in a bit of a funk last week so we didn't get any trade triggers.  Vol may pick up this week if POTUS goes for the Emergency funding option and Dems go ballistic.  Well see.
As an aside here also are the QLD  performance metrics for our VIXEN TF (volatility momentum) and VIXEN MR (volatility mean reversion) models.  It's more than surprising to me that the metrics aren't all that just have to pick one or the other....or go the safe route and play DN.
Always keep in mind that the VIXEN models are NOT based on price parameters but are based solely on daily volatility analyzed using a toolbox of range algorithms.

Sunday, January 6, 2019

Delta Neutral ALT Limit Stops....01.06.2019

Here's a look at what happens to our performance metrics as we adjust the value of the limit stops.
Our current "Best Odds" indicate a 3.8% value ....which I tend to discount by almost 30% based solely on discretionary gut feelings and the historical long term value of the QLD limit stop of 2.5%.
Without further comment here are the metrics using alternate values of 2.5, 3.0 and 3.5%.
Note how increasing the stop value decreases the number of triggered trades and affects the linearity.

Thursday, January 3, 2019

Delta Neutral Update....01.03.2019

Am ugly day that had a morning reversal potential but the sellers took hold as the day wore on and the overnight session is now also in the red.  No news is good news so we're likely to see more of this type of big range whip action for a while.

Tuesday, January 1, 2019

Delta Neutral Update...01.01.2019

A new year and new possibilities but the same old delta neutral preference.  Things could get rocky this year but we don't care (from a trading standpoint). The surge on the 26th changed the QLD benchmark situation dramatically but one day does not make a portfolio and that's the opportunity cost of a  DN strategy.
Best wishes for all in the coming year...we might need it.

Sunday, December 30, 2018

Delta Neutral Update...12.28.18

A mildly volatile day with low range exposure meant the mode never triggered and we're left net/net at the close.  Another shortened trading week may see pump and dump action renewed while tantalizing news that Chinese trade negotiations are "going well" may provide the grease necessary to move the markets.  Underlying economic data is woeful but that's never impacted the markets before so why expect things to change now.
With delta neutral we don't care.

Thursday, December 27, 2018

Delta Neutral Update...12.27.28

Another surprise day...this time with the NYAD rising from a bearish .20 one hour prior to the close to a closing value of 1.07. Blame the pension funds once again trying to avoid cash.
Tomorrow is December options expiration so we may see volatility once again as rollovers surge and traders try to pin the close.  Meanwhile our longer term silver (SLV) calls close out tomorrow for a nice gain over the past few months.

Wednesday, December 26, 2018

Delta Neutral Update....12.26.18

Well, that was a surprise...especially to the majority of CTAs... who were 100% short at today's open.
Pension fund buying was the reason given for the surge..that and short covering.  Let's see if the surge continues through the weekend.