Where we are

The original purpose of this blog was to setup a stream of consciousness format for me to share my experience in learning how to speculate in the financial markets using a quantitative framework. Quantitative trading is not the holy grail of strategies. I know plenty of great discretionary traders who operate in Buddhist-like risk management fashion in order to carve consistent money out of the markets.

My goal was always  to couple that risk management with a real quantifiable edge in markets. If a stop gets hit, I will honor it like any other discretionary trader. I know far too many people/shops who have been on the wrong side of a "100% winner in the past" which eventually takes them out of the game. The goal is always to remain solvent and compound your capital whenever I see an opportunity.

So with that being said, I decided to turn this into a blog about my personal trades in the market. My strategy involves trading on timeframes from one day to one week. Usually the later. I am starting with a "$1,000" account. My goal is to compound this  account monthly at a rate of

I saw an edge on March 1st, 2016 after the gap up. Small-caps initially filled the gap and held. The pattern was bullish for the S&P where a down Friday and down Monday usually meant the S&P would be up big given over conditions in relative value rankings of stocks/bonds. The strategy was to buy the weakness on the day. The choice was UPRO, TQQQ or TNA. TNA offered the best risk reward. I loaded up at $47 with 60% off the account. I sold later at $48.30 at new highs and collected my coin. I usually hate day trading, but the risk:reward was too good here. March 1st: Balance + 1009.91 (101bps).

On March 2nd, I didn't make a trade. We appear to be observing a very bullish pattern in markets at this time. The chair pointed out and asked his traders to take a look at what happens when stocks are unch for the year after suffering a huge drawdown. Here is a histogram of returns on SPY 20 days later.

YTD SPY Plot

Here are the return distrubutions for t+5,10,20 and 30 after such an occurence where the S&P is slightly down for the year but had a drawdown of < 8%, This has historically been a bullish event. I will be looking to put on a multi-week long trade in the coming weeks on my personal account. The risk-reward I see here is roughly 2-3% down in the S&P to make 3x that.