I bought into copper shares May 26th and doubled up June 9th. The going till now has been a slow slog but finally looking at blue sky. https://www.elitetrader.com/et/threads/themickeys-journal.307864/page-6
For those that are using R, Has anyone used quantstrat library for backtesting? I am having trouble with telling quantstrat to use my already calculated 30 day numberline values (basically these are listed in a table) as an indicator that would be later used to generate a signal. The "add.indicator" code requires a function as an argument...but I already have the values calculated...it won't let me just sneak these values into the argument. Another poster had the same problem: https://stackoverflow.com/questions/40239702/adding-indicator-quantstrat-r Any ideas?
MiB: Ed Thorp on Beating Vegas & Wall Street July 15, 2017 10:00am by Barry Ritholtz This week (for our 3rd anniversary broadcast) we sit down with Ed Thorp, the math professor who Beat the Dealer, and Beat the Market, and became the first true quant hedge fund manager. His new autobiography is A Man for All Markets. At the time he was a mathematics professor at MIT, Thorp realized that the house edge in BlackJack could be shifted in a player’s direction with a simple formula for tracking the cards that had been already seen. He eventually made enough money in Vegas that he was kicked out of most of the casinos. In response, he wrote Beat the Dealer. The casinos didn’t believe Baccarat could be beaten, so they did let him play that — until he Thorp started taking them for more money. Eventually, he and Claude Shannon, a fellow professor of information theory at MIT, created a wearable computer to beat roulette (!). That also worked, leading him to get banned from casinos everywhere. Turning his expertise in probability analysis and mathematics naturally led Thorp to finance. He effectively created statistical arbitrage, expressing this in a hedge fund that returned 20-25% per year. Thorp also was an early investor in Berkshire Hathaway, buying BRK for $982 (he still owns the shares). He was also an early investor in Kenneth Griffin’s Citadel. http://ritholtz.com/2017/07/mib-ed-thorp-beat-vegas-wallst/
Anyone dipping into natural gas stocks? All my indicators are saying bearish except some of my ACD metrics have been creeping up for some of these companies like MRO, CHK, and SWN.
I was long spn and mdr until the other day, took profit when my oih data started looking ugly again. Got short clr and rrc yesterday (at open unfortunately). I don't break them down beyond etf levels yet. I have xop weakest and oih strongest in the energy sectors I track. No reason to be long any right now unless you have fundamental reasons according to my data.
My other trade right now is short two grocery stocks. Have xlp very weak and grocery stood out within it.
So here is the distribution of 3 day returns for the XOP components since I posted that. RRC and CLR are the 1st and the 3rd bars. Good job ACD.
Anyone watching semiconductors? I have had very negative 30 day on them (SMH and components) since 6/28, so tried one short (ON) early this month. I took a loss on it after a few days, and have been watching them go up since then. Thursday and Friday I started to catch a few early signs of weakness so near close Friday I shorted MSCC. I know its speculative but it seemed like a good partner to a long tech stock position I have.