It's 60 minutes past F Day and the FED has finally raised rates for the first time in 7 years.
The initial reaction was bullish but we'll check back on Friday's close to see if the enthusiasm held. These are the 2 most bullish weeks of the year historically so there's that inertia going forward.
I've made some major changes and refinements to the M2 project over the past few days, in the process re-learning EXCEL programming that I had long forgotten.
The major effort has been focused on automatically calculating the limit stops, which is really the most important part of the program as it calculates and applies current volatility (risk) thresholds to each position. There's a lot of volatility analysis now embedded in the model and the stops are calculated based on 2 separate set of metrics. Just to make matters more confusing a programmable longer term risk tolerance adjustment factor is included so various "what if " risk scenarios can be
quickly examined. The M2 dashboard also now indicates whether the current mode is momentum (MN) or mean reversion (MR). Needless to say, the M2 project has been a long time coming and involved much more time and effort than I imagined when I started. M2 is just about ready for prime time although I still need to run some quality assurance tests before releasing.
Thanks to all who offered input ideas and suggestions on making the program what it is.
This is the SSO/SDS version (momentum mode) Top 1...NOT delta neutral which is Top 2..
Probably have to click once on dashboard to enlarge abd see details.