Dan
7K posts
Dan
@Dan_Trend
Investor and Systematic Futures Trader
Australia शामिल हुए Temmuz 2014
470 फ़ॉलोइंग940 फ़ॉलोवर्स
Metals sell off was across the board. Oil shock is bad for global growth and bearish industrial metals and just a shock to global risk assets in general. I think it’s a “correlation going to one” story for gold/silver, which had a flash crash as everything, esp stuff that went up a lot, was sold. Macro fundamental was catalyst, positioning was amplifier and catalyst. Silver has some industrial use too. Gold just got tossed out like baby with the bath water.
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We are in the midst of a hot war in the Middle East, with Oil prices kissing $120, a cooling (pre-war) labor market, and the odds of a recession ticking up from modest levels.
And despite all of this geopolitical economic chaos, Silver and Gold are both crashing.
Besides capital flow reversals and speculative unwind, can anyone explain what is driving this action?
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This is why I don't trade fundamentals, sometimes things make no sense.
So often it's just "under-reaction" which is the driving force behind trends.
Javier Blas@JavierBlas
Fascinating to see where Brent and TTF are trading right now after the last 24 hours of attacks and counter attacks. Brent is up a mere 3%, and TTF is lower than at the peak on Tuesday March 3rd. The absorption capacity of the energy market either reflects a) a misplaced optimism in TACO, b) a market that was way looser than thought, c) all of the above plus policy actions like IEA release and gas-to-coal switching.
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@investingidiocy True.
I'd bet many discretionary traders drawdowns were even longer too. I know I've had one like that in the paat, on all trades/investments.
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@Dan_Trend I've had a 2 year drawdown on the whole system. And it's still a "valid" system (in the sense that performance never exceeded the statistical envelope of the backtest).
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Imagine thinking 9 months is "the long term"
I have food in my freezer that's older than your drawdown
TradeQuantiX@TradeQuantiX
Sticking with trading systems for the long term sucks sometimes. This is the live equity curve of an actual system I trade. It sat in a large drawdown for about 5.5 months, almost giving back all it gained. But, I trusted the system was real and robust, the markets just weren't providing the opportunity this system looks for. This is the kind of thing you have to find comfort in to be a systematic trader. Trusting your models are working, when when they are losing money.
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@ScottPh77711570 Just had a small short open up.. so yeah def gonna go up
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Just sold the last of a gold position i’ve held since 2019
You know is gonna go up now
Sorry
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@Dan_Trend @choffstein bro AEH is actually genius you just casually dropped the most efficient title upgrade of the year howd you come up with that so quick
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A peer reached out to say they're publishing a paper on portable alpha with a clever title using "stack" in it.
There's a lot of alpha in that title.
So, I'm front-running them and publishing an article tomorrow using it.
This is how information markets become efficient.
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@stevehou It's just the usual twitter fun - one post does the rounds, gets kicked a few times, then eventually someone defends it and they move onto the next 😁
It'll be over soon, there will be a new kicking bag after the next badly worded tweeter pushes the post button a bit too quick
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I don’t understand this either. Futures are not a perfect risk neutral forecasts/expectations of the future prices, but they surely can’t be untethered to them either? If everyone expected crude spot to go up to $150 and remain there, futures will go up a lot. The fact that futures aren’t lower reflect risk-adjusted expectations that oil prices will eventually come down. What am I missing?
Jessica Nutt@JessicaNutt96
The econ pedants really need to stop with their “futures curve is not a price forecast” nonsense. If it’s a liquid tradeable asset what else could it be?
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@thiccyth0t @orrdavid TTF (Dutch Nat Gas) futures closed just before that article. Closed 1pm EDT (18:00 MET), will be interesting to see how it opens at 3am EDT.
Still below the spike from the 9th.
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The big energy risk was Iran causing extreme damage to neighboring country's infrastructure. This damage would be long term rather than a temporary (and likely over soon) blockade.
Iran tried the attack but it pretty much failed to cause that serious of damage. The number of missiles launched was low, and the damage they caused is a lot less than I would have guessed a month ago. Unless there is follow through soon, I'm going to call it. That this conflict is over. That Iran is out of steam.
Also, that Iran did this further alienates them from their neighbors.
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@TradeQuantiX @M19HAU This yes.
I've lost count of the intraday traders that I've seen quit in frustration/disgust. I'm sure some of it works, but the constant monitoring/rotating systems as short term edges things go in and out of favour must be tedious.
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@M19HAU What changed the game for me was stopping all the intraday stuff and going to daily momentum and trend stuff. stupid real stuff that’s ugly but works over then long term
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Sticking with trading systems for the long term sucks sometimes.
This is the live equity curve of an actual system I trade.
It sat in a large drawdown for about 5.5 months, almost giving back all it gained.
But, I trusted the system was real and robust, the markets just weren't providing the opportunity this system looks for.
This is the kind of thing you have to find comfort in to be a systematic trader. Trusting your models are working, when when they are losing money.
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@AtcoTrader @investingidiocy Wait till you try the STIRs or 2-year notes, vol-sizing them can add Xs to your leverage ;)
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Reading @investingidiocy book Leveraged Trading (which is really good).
*meanwhile looking at the portfolio which is 350%-ish net long*
New ATH in double standards for me 😇
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I may have very dumb models but I understand them and their risks to their core.
to me is important when going through drawdowns, it makes that experience much easier because I know whats going on quickly.
add a bunch of complexity and that would just make my adhd go insane.
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If a meaningful fraction of the analyses I’m seeing on major supply disruptions to global energy, food and pharmaceutical inputs is real, the humanitarian crises and government responses that are about to unfold will make COVID mayhem feel quaint.
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@HF_Trader Hard to teach interpersonal/social skills with their peer group, and teamwork etc from home schooling though.
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No shot in hell public schools modernize their curriculum across the board. With AI, you’re going to have more kids homeschooled and setup on AI generated programs. That is the future. Everything can be completely tailored to the individual.
Chris Koerner@mhp_guy
High school should teach: - Prompt engineering (it's a skill now) - Real Estate 101 - Types of biases - How to have hard conversations - Vibecoding basics - Entrepreneurship - Serving others - Sales tips - Handling rejection - Compounding (not just money) - Automating your work (Zapier, Make) - Opportunity cost - Bias for action
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@Bugskitche56125 @Rory_Johnston It all depends on delivery location and expiry (contract specs).
A day before expiry the prices are almost the same.
Prior to that they are moving up towards physical price every day.
Any ME trapped oil that's not delivered can be priced way lower as can't be arbed.
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@Rory_Johnston Novice question: how far do physical oil and paper (futures/financial) prices typically diverge?
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Iranian Foreign Minister:
“Any claim to the contrary appears geared solely to mislead oil traders” 😅
There’s a whole battle of the jawbones happening on top of the acute physical market disruption.
Seyed Abbas Araghchi@araghchi
My last contact with Mr. Witkoff was prior to his employer's decision to kill diplomacy with another illegal military attack on Iran. Any claim to the contrary appears geared solely to mislead oil traders and the public.
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@Dan_Trend @laurensbensdorp Most of my time is spent on the data layer and technical tasks. "Universe = all US stocks" is a challenge. So is making all the different rules work correctly.
Happily looking forward to the point in time when i can actually work on the strategy pipeline.
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Questions for Mr. @laurensbensdorp . In the Short RSI Thrust in your book, you write "the day after we place the order, place a buy stop".
Does that mean that there is not stop on entry day?
If yes, Do you still use this rule? And did you run into CODX in 02-2020?
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@JasonP138 @JoshYoung haha yeah saw that, "Disinflation" for something that is moving higher to meet the front of the curve as time moves forward is a really funny term to pick!
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No one who trades commodity futures would say backwardation is bearish. @JoshYoung is right.
Josh Young@JoshYoung
Backwardation is bullish
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@_Flin_ @laurensbensdorp Just be wary of ambiguity of fill order, if your entry is a limit order and the stop is too close the system may not know which order they were hit in.
Placing the stop quite far away (eg 1.5x the price) on the first day is a way to handle that.
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@laurensbensdorp Thanks a lot for the response. Yes, i would not be happy to trade unlimited risk without a seatbelt :-)
So i will take your systems as inspiration and see what i can do with them to fit my character.
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And if you are experiencing large losses with equities 5% off all-time highs over a 3 month period, with the potential for exponentially greater losses if the decline continues, then there might need to be some reassessment of how you view investing and risk.
Although in this moment it might feel extraordinarily abnormal, history shows us that it is not uncommon for equities to fall much further than that level.
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When investors and traders think about what categorically qualifies as a “tail event” in equities, I think it can be highly contextual and dependent on a few factors.
If you told me that stocks dropped 10% over the course of a quarter, would I chalk that up as a tail event? Not really. History shows that although those moves don’t happen every year, they are not true outliers and are simply part of how healthy markets function.
Now if you asked me whether stocks dropping 10% in a single day would qualify as a tail event, I would say yes. Moves like that are clear outliers in the broader history of market behavior.
Ultimately, during a tail event the path, timing, and impact all matter. This is why volatility tends to be a good barometer for what can be deemed an “outlier”. 30-day implied volatility around 30 can be high, but it isn’t truly an outlier. Once you begin crossing above 40, that is where markets start to experience real stress and the world begins to look very different.
As an investor, understanding the key points that can potentially destroy your portfolio is the first step in deeming what is a true “tail event” which can naturally be subjective. Stocks down 10% might hurt, but stocks down 30% might be terminal failure for your investing career. And that’s probably what you want to focus on curing.
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