Jump to content

Custom Risk Ranges For Today 7-04-2021


Recommended Posts

Good Afternoon peeps .

Here are my volatility adjusted Risk ranges for today 

SPY (Bullish) 393.032 - 410.218  prev. close: 406.12

QQQ (Bullish) 315.822 - 335.269  prev. close: 330.82

IWM (Bullish) 206.225 - 230.352  prev. close: 224.31

XLK (Bullish) 131.229 - 139.923  prev. close: 137.69

XLF (Bullish) 33.28 - 35.433  prev. close: 34.67

XLE (Bullish) 45.833 - 51.185  prev. close: 48.98

XLU (Bullish) 63.106 - 65.874  prev. close: 65.02

XLI (Bullish) 95.799 - 101.954  prev. close: 99.76

XLC (Bullish) 72.378 - 77.351  prev. close: 76.34

XLP (Bullish) 67.918 - 70.797  prev. close: 69.14

XLB (Bullish) 77.305 - 82.807  prev. close: 80.65

XLY (Bullish) 165.771 - 175.936  prev. close: 174.02

XLV (Bullish) 115.213 - 119.07  prev. close: 116.75

XLRE (Bullish) 39.206 - 41.288  prev. close: 40.43

XRT (Bullish) 82.639 - 93.874  prev. close: 90.8

GLD (Bearish) 157.381 - 164.397  prev. close: 163.22

Good luck out there.

Courage 

Link to post
On 07/04/2021 at 08:25, Courage said:

Good Afternoon peeps .

Here are my volatility adjusted Risk ranges for today 

SPY (Bullish) 393.032 - 410.218  prev. close: 406.12

QQQ (Bullish) 315.822 - 335.269  prev. close: 330.82

IWM (Bullish) 206.225 - 230.352  prev. close: 224.31

XLK (Bullish) 131.229 - 139.923  prev. close: 137.69

XLF (Bullish) 33.28 - 35.433  prev. close: 34.67

XLE (Bullish) 45.833 - 51.185  prev. close: 48.98

XLU (Bullish) 63.106 - 65.874  prev. close: 65.02

XLI (Bullish) 95.799 - 101.954  prev. close: 99.76

XLC (Bullish) 72.378 - 77.351  prev. close: 76.34

XLP (Bullish) 67.918 - 70.797  prev. close: 69.14

XLB (Bullish) 77.305 - 82.807  prev. close: 80.65

XLY (Bullish) 165.771 - 175.936  prev. close: 174.02

XLV (Bullish) 115.213 - 119.07  prev. close: 116.75

XLRE (Bullish) 39.206 - 41.288  prev. close: 40.43

XRT (Bullish) 82.639 - 93.874  prev. close: 90.8

GLD (Bearish) 157.381 - 164.397  prev. close: 163.22

Good luck out there.

Courage 

how do you calculate these - if you don't mind..?  

Link to post
12 hours ago, HMB said:

how do you calculate these - if you don't mind..?  

    That would be giving away the secret sauce😂. Jking. I can't give you my math because it's customised to my taste in terms of duration of investments, ( I can however tell you the principles and ideas behind the math. If you put it together you can build your own personalised one  ( a major component of my model is actually on my profile page 😁) 

 

Price Observations  ;

Price moves in a horizontal range in smaller or larger time frames before moving higher or lower. 

The objective is to capture the statistical “best price”  of a security by purchasing it at or near the bottom end of the volatility adjusted price range if bullish, and sell at or near the top if bearish. ( time frame is user dependent )

 

Volatility Observations;

Volatility is an important input because it's the measure of dispersion in returns and is always mean reverting. 

Implied volatility is also an important component because it is what the market expects volatility in the future to look like. (Time frame of forward outlook is user dependent ).

Calculating this for the VIX AND THE VXN AND BOND MARKET AND OIL SUPER IMPORTANT.

 

Liner Interpolation ;

Volatility and price generally have an inverse correlation and the ranges are constantly changing, so I use liner interpolation to give me a rough estimate of what range the price could be statistically. 

   This is one component of my customised risk management approach. Then there is the macroeconomic conditions to consider as well. 

  Then comes the rest; execution AND PAITIENCE. ie. Having the confidence in the math to buy when people are afraid and sell/reduce exposure when people are euphoric. 

I can't  attached the paper I derived this calculation for on the platform. But you can find the paper here 

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2023066

Link to post

 

8 hours ago, Courage said:

    That would be giving away the secret sauce😂. Jking. I can't give you my math because it's customised to my taste in terms of duration of investments, ( I can however tell you the principles and ideas behind the math. If you put it together you can build your own personalised one  ( a major component of my model is actually on my profile page 😁) 

 

Price Observations  ;

Price moves in a horizontal range in smaller or larger time frames before moving higher or lower. 

The objective is to capture the statistical “best price”  of a security by purchasing it at or near the bottom end of the volatility adjusted price range if bullish, and sell at or near the top if bearish. ( time frame is user dependent )

 

Volatility Observations;

Volatility is an important input because it's the measure of dispersion in returns and is always mean reverting. 

Implied volatility is also an important component because it is what the market expects volatility in the future to look like. (Time frame of forward outlook is user dependent ).

Calculating this for the VIX AND THE VXN AND BOND MARKET AND OIL SUPER IMPORTANT.

 

Liner Interpolation ;

Volatility and price generally have an inverse correlation and the ranges are constantly changing, so I use liner interpolation to give me a rough estimate of what range the price could be statistically. 

   This is one component of my customised risk management approach. Then there is the macroeconomic conditions to consider as well. 

  Then comes the rest; execution AND PAITIENCE. ie. Having the confidence in the math to buy when people are afraid and sell/reduce exposure when people are euphoric. 

I can't  attached the paper I derived this calculation for on the platform. But you can find the paper here 

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2023066

thanks.  the ranges you provide are not symmetric around the previous close - so there is a mean return assumption?

(interesting paper  - providing some evidence for vol of vol being a return driver - can't see the connection to the risk ranges immediately - except maybe the general insight that the width of the ranges needs to be updated frequently - you "wrote paper I derived this calculation for" - you're one of the authors?

Edited by HMB
Link to post
2 hours ago, HMB said:

 

thanks.  the ranges you provide are not symmetric around the previous close - so there is a mean return assumption?

(interesting paper  - providing some evidence for vol of vol being a return driver - can't see the connection to the risk ranges immediately - except maybe the general insight that the width of the ranges needs to be updated frequently - you "wrote paper I derived this calculation for" - you're one of the authors?

Nah I didn't write the paper, took multiple reads to understand the concept and I'm sure someone is going to one day tell me I'm wrong haha. Got a monkey brain my friend 😆.  What I meant to say was I derived the formula as in I "borrowed" it . And yes there are assumptions impeded in the math also, Its not perfect because it doesn't seem to work on securities that don't have options data. Which is a huge limitation. I am currently working on with someone with bigger brains than I have to come up with a solution to fix that.

    Think of the ranges as moving targets , the calculation takes vol and price into consideration. The most important thing to watch is the the change of the width. Not necessarily the width itself. If the range is stable and a security is making higher highs and higher lows , with volatility slipping = super bullish, opposite = bearish. 

Link to post

Join the conversation

You are posting as a guest. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.

  • General Statistics

    • Total Topics
      15,141
    • Total Posts
      73,172
    • Total Members
      61,487
    • Most Online
      5,137
      14/01/21 09:51

    Newest Member
    Lollo
    Joined 08/05/21 06:40
  • Posts

    • Yes. IG does trade against retail traders. IG also has a lot of institutional traders. If your are trading low volume stock or Singapore CFD equities, the dealing desk will manually lock your order for a good 30 seconds so that you cannot delete nor change the order price level for the 30 seconds when they there is another bigger clients want to unload.  I have been locked this way as many ast 4 times in the past and cost over SG$10,000 loss. When I called IG, it said the dealing desk manually lock my orders with an excuse they are putting my order on hold so that they hedge it on the Exchange. In the first place I trade CFD and CFD is internal market within IG environment and our trade does not affect the market. It is highly irresponsible to lock our order. My complaints to IG for compensation via calls and emails all went without any positive response and the replies from them are as stated above. CFD market is internal market and our order should not be touched by dealing desk at all time even if there is no liquidity to fill our order then our order should just be left unfilled. At no time our order should never be locked by Dealing desk. To me this is day light robbery. Secondly, IG has deployed internal algorithm to hunt your hard stop losses and also filled in your limit order with a spike to the dot before immediately move in the opposite direction big time. Thirdly, some time IG platform will freeze and unable to re-login back when you are in a trade. This made it extremely dangerous when we cannot see the price action on the chart. This had happened to me a few times. Fourthly, nowadays even if your platform freeze or has other problem on your trade, call to their dealing desk during US market opens 100% of the time no support or dealing desk will pick your calls. My phone was kept ringing for 30mins or more and many different days. This is again does not speak well of the kind of support IG gave clients. The only attraction I use IG is the ease of use of their trading platform. These kind of  underhand tactics above are played out in IG on daily basis which made our day trading very difficult to win. It is very visible if your trade the small time frame how IG's manipulations are done.     The above comes from someone who trade daily with IG for the past 3 years. I am even considering to stop trading through IG because of the above under hand tactics. Sometimes     
    • Does IG aim to profit from client losses? No. Our business model is based on providing individuals with the opportunity to trade the world’s financial markets, in exchange for fair and proportionate transaction fees. It's a well-known fact that trading successfully is difficult, and most speculative traders tend to lose. However, we do not typically benefit from trading losses that an unsuccessful client may experience. Mostly, our clients offset each other’s positions. For example if client A buys one lot of the DAX and client B sells one lot of the DAX, both sides of the trade are covered. This means we're not exposed to the profit or loss of either client. Instead, we make our money via the spread (i.e. the transaction fee) that each client pays to trade. Sometimes, a large majority of clients will trade in one direction. When this happens, we'll protect our exposure to risk by hedging in the underlying market. For example, if client A and client B both buy the DAX, we may buy actual DAX futures. This then covers the amount we'll pay out if both clients are successful.
×
×
  • Create New...