The hunt for crisis alpha

Discussion in 'Trading' started by globalarbtrader, Mar 19, 2020.

  1. In this thread I'd like to hear from people who have (a) made money in the last month, (b) did it with something more interesting than a massive short on SPY which they put on based on a whim, and (c) are willing to share what their strategy is. Is it options RV? Aggresively buying the dip on ETFs which are trading well below their NAV? Playing the daily range?

    I'll start: at pixel time in my trading account I'm up around 9% in March and about 20% YTD. This is on a risk target of 25% per year, so those are big numbers for me (in contrast, I made about 26% in 2019 and that was a good year for me). Just doing what I always do: trend following and carry in a diversified futures portfolio of futures markets (more on my journal thread).

    Interestingly I haven't had any standout positions on, so I'm not short stocks or crude, and I'm still long vstoxx and MXPUSD. The market selloff was far too quick for medium speed trend following to pick up on, and the high vol means I haven't been able to establish decent sized positions which might make a very large amount of money. But overall the portfolio has been profitable, turning from long Beta to modestly short Beta on March 3rd which was pretty good timing.

    GAT Screenshot from 2020-03-19 13-20-20.png
     
    jtrader33 likes this.
  2. zdreg

    zdreg

    How long is that possible before arbitrageurs come in, second minutes?
     
  3. Normally this is not something you can easily do, but many ETFs are trading below NAV pretty consistently, with gaps increasing at times of serious stress.

    GAT
     
  4. zdreg

    zdreg

    It is strategy for professional HFT traders with filters not retail traders
     
  5. padutrader

    padutrader

    I did give a sell call on S&P on feb 13...…….but my target was reached 1000 points earlier:D
     
  6. padutrader

    padutrader

    why?
    just wondering.

    I trade forex

    but I do watch American markets....for fun
     
  7. There are a few types of trading strategies that are supposed to do well in a crisis. I was just wondering if that had actually borne out. The HF return numbers for March will also be instructive.

    GAT
     
  8. gmal

    gmal

    I am up over YTD so far.

    Mostly passive holdings with buying OTM index bfly and some trading at the edges. Nothing systematic as you.
     
    Last edited: Mar 19, 2020
  9. padutrader

    padutrader

    the crisis is in our minds.
    markets do not know crisis.
    they just do their thing.
    sometimes a little more volatile sometimes a little less.
    just my way of looking at things
     
  10. 2rosy

    2rosy

    not necessarily hft but it takes $ and access to create/redeem. the nav dislocation is more a liquidity issue.
     
    #10     Mar 19, 2020