Markets: Algo’s and SiM Theory

Out-trading algorithms and studying  SiM (Sell-in-May) theory is on the docket here for the next coupe of weeks.   We’ll get to the Chicago Fed outlook in a minute, but let me ramble for a bit…

What makes this a “nice” time to visit the casino (stock market) is it’s like walking in at 3 PM on a Friday afternoon.  As most gambling denizens suspect, casinos like to “give a way a little to get a lot.”  The smart player (if there is such a thing, so ignorant are most gamblers of statistics) will concentrate play during the hours with large numbers of players are arriving.  When people are packing up to leave at the end of a weekend, it’s in the casino’s interest to see that machines don’t pay off as much Sunday around checkout time.  Not that this actually happens, but there’s a gambling theory for you.

We also quit gambling around 8 PM because after that, seems like things fall down to (and below) average payouts. (One of our readers is a former gaming commission type who will hopefully comment, eh?)

Unfettered by a gambling commission, last week was a dandy for professional traders.  The major indices were run-up on Thursday,  The pro’s were able to “cover” with lower prices for underlying index securities Friday.  A dart toss today seems to point to mid-morning before a low  later in the day.  That’s a dart, not advice.

Since we don’t offer financial advice, we love to point you to the entry in The Trader’s Almanac about how markets can sell-off in May.

Our research here is eyeing a new system akin to trading the greeks” in options..

Wouldn’t it be nice to have your own “magic algorithm?”  Almost without regard to price levels. Just write a trading model of your own and let it decide the long and short of it…Ah, the “Walter Mitty-ness” of it, huh?

In statistical terms it’d be like “Buy a house when everyone else is buying and own the house until the buying fever breaks.”  Then, “Sell the house near the top”  when For Sale signs start to pop up around the neighborhood.

This is not dissimilar to the On-Balance-Volume approach used by Joseph Granville, but the problem is to be used effectively in the short-term, one needs to sit in front of a trading platform and look at “the tape” (screen) all day long.

It would be glorious to use changing statistical relationships, but now comes the rub:  Working out the changes and listing them into a trading decision-tree…then testing in the real world..

This week, looks like a reasonable time for such “system testing.

System trading is fraught with time issues.  For example, if you are trading anything based on an average, the market can turn and you’ll only see it after the now reversed average has eaten all your profits and maybe then some.  Our current system returned 1.38 and 1.80 percent last week and then lost 2.38 percent.  That loss might have been avoided by holding over the weekend, but the exit rule happened mid-session Friday.

That’s the tough part:  Learning to be absolutely disciplined.

Might there be a way to plug & play with a “Bayesian Model” that will look more dispassionately at certain statistical relationships and “guess-ahead better?”  Oh, sure.  Just how much money do you want to spend building and testing what may not work or may take years to evolve the right algorithms?

With almost nothing in this morning’s news flow to get excited about (J Powell speech at 7 PM tonight, anyone?) we’re stuck in the annual problem zone: sorting out where Sell-in-May goes this year and whether it or the the pre-holiday upside bias will play out over the balance of the week. Remember, next Monday is Memorial Day.

A more useful pursuit is optimizing my personal “day pattern.”  That involves looking at the market while writing 40-minujtes and then spending 20-minutes in the gym.  Walking the treadmill and doing reps on the weight machine is sure to have a higher personal  return than all the day-trades on Earth.

CFNAI Bummer

Chicago Fed National Activity Indicator is just out:

.Led by declines in production-related indicators, the Chicago Fed National Activity Index (CFNAI) fell to –0.45 in April from +0.05 in March. Three of the four broad categories of indicators that make up the index decreased from March, and two of the four categories made negative contributions to the index in April. The index’s three-month moving average, CFNAI-MA3, moved down to –0.32 in April from –0.24 in March.

April CFNAI data

About the next “exciting” thing this week will be the Fed Minutes Wednesday, but we already know:  They met, they did nothing. Pass the No-Doz.

Oh, a big toe-curler Friday:Durable Goods data.  But the market should be on a delusional tear by then with the holiday weekend starting…but we shall see.

Useless Recycled News

SSDD if you ask us.

>Wars and Rumors Of Dept: Iran Slams Trump’s “Genocidal Taunts” As “Team B” Concocted Threats.  Meanwhile, Air Force preps light attack plane for combat missions in great power war.  Damned if we didn’t sell our old Beechcraft too soon.

>Antisemitism Watch:  Chicago police on alert after attempted arson and vandalism at synagogues.  Radical home-grown extremists or free-entry un-vetted people who hate America?  Place your bets…the world’s crazy.

>Trauma Stock:  Tesla.  Tesla shares fall after analyst says Elon Musk distracting carmaker with ‘sci-fi projects’..Not sure who started it, but we smell a pile-on coming as Wedbush Calls Tesla A “Code Red Situation” Sending Stock Crashing To 3 Year Low/

>Bashing-On:  Wedbush Calls Tesla A “Code Red Situation” Sending Stock Crashing To 3 Year Low/  However, Trump has tweeted back:

“The Failing New York Times (it will pass away when I leave office in 6 years), and others of the Fake News Media, keep writing phony stories about how I didn’t use many banks because they didn’t want to do business with me. WRONG! It is because I didn’t need money. Very old

….fashioned, but true. When you don’t need or want money, you don’t need or want banks. Banks have always been available to me, they want to make money. Fake Media only says this to disparage, and always uses unnamed sources (because their sources don’t even exist)……

>Which Gets Us Mired in Politics: Former Bernie Sanders staffer sues pro-Sanders organization for racial discrimination.  Are the dems just trying to piss everyone off or is it a coincidence?

>Canceled Vacation? Britons could be banned from Syria under counter-terrorism laws.  Um…like 1 tourist maybe impacted?  Who in their right mind….

>Clicks Smash Bricks Remix: Sears Could’ve Been Amazon. Here’s How It Blew Its Chances.

OK, off to breakfast and then we shall see about trading today.  Futures after CFNAI down 165 on the Dow…no, make that -174 now…

Moron the ‘morrow!

39 thoughts on “Markets: Algo’s and SiM Theory”

      • Happened to notice the latest post on Age Of Desolation is password protected. Title is “No. It’s not going to be Alright”. Picture of a stealth bomber with a nuke (I think). Any correlation?

  1. The light attack aircraft for the Air Force is interesting. I didn’t see the Fox Noise video since it wouldn’t work in my browser. Here’s another link:

    https://www.airforcetimes.com/news/your-air-force/2018/02/20/a-light-attack-aircraft-fleet-could-it-change-the-fight-or-put-lives-at-risk/

    It seems that adding remote piloting ability would be a piece of cake compared to the advanced fighters, and then you can leave the pilot on the ground. That would be the best solution. Leave the controls in place for recurrent training and low risk missions. Using an F-22 for simple low risk missions is incredibly stupid. We only have so many of them.

    Of course, anything military will cost the earth. Why not just modify an ag plane to carry a military payload. See:

    https://en.wikipedia.org/wiki/Air_Tractor_AT-802

    • Now that’s a real hot button with Ure’s…truly! Air Tractor with a PT-^ pratt smoke box up front…give me the modified MS Flight-Sim interface (the one with live nose cam and a HUD display) and we be bombin’

      • Great concept, but even millisecond lapses (between the ground controller and the air vehicle) can be terminal in combat or critical phases of flight or during in-flight emergencies.

        AI and machine learning are where the military is currently putting its chips. Ground controllers are a great safety valve for inflight maintenance and alternate missions/routes based upon timely intel.

      • @Warhammer: Definitely true regarding remote piloting. I was thinking of medium risk missions where both a cheap aircraft and failure of the mission were not strategically critical. AI/machine learning are fascinating, but the challenges are not only configuration, but also training. Neural nets(various) have managed to make some confoundingly odd choices after being correct thousands of times. They’re a good tool but not a panacea.

  2. Mano mano Shevitz George – I should have figured you would start “nibbling” on the market again, just as I was lightening up due to my inability to decipher market direction/sentiments. Long term QE will fuel further gains in market along with stock buyback programs..thats all I got.

    Weekend research concerning Gold versus the S&P – Pt.1 from Jan 31 2000 to Jan 31 2019.
    Hard to wrap my head around Gold costing $283 an ounce, on Jan 31, 2000 – $1323 an ounce. That is a 367% return or devaluation of FRN’s.

    Pt.2 The S&P on Jan 31, 2000 was at 1424, on Jan 31, 2019 the S&P was at 2706. That is only a 90% increase over the 19 year span.

    Reason for inquiry into Gold is all the noise about legendary gold stashes (Asian Families) in remote mountainous regions of S.E.Asia/Indonesia, Pt.3 rumors of recovery of multi trillion $ stash by team Trump . Pt.4 Adding that to the Bush cartel stealing fort knox gold, replacing with gold clad tunsten bars refined in Canada (refinery right next door to tungsten mine running 24/7. Hong Kong got burnt badly by this fraud/scam – wondering why we pay $2 billion a month to Hong Kong?

    Pts. 5-8 Central Banks for 15-20 years have been net sellers. Basel 3 goes down and all of a sudden central banks are buying Gold. Russia has been buying – long term, as has China.

    Pts. 9&10 The rumored sticking points in trade deal have to do with currency valuation, and settling all trade imbalances on a quarterly basis in Gold, while simultaneously “releasing price controls”.
    China does not want raise value of currency and US supposedly aint got no Gold, but a few hundred bars at West Point – young cadets can be trusted on guard duty..
    Long and short of weekend analysis..Silver is CHEAP and probably getting cheaper..falling dam knives.

  3. Who doesn’t like to play “coulda, shoulda woulda” w/Sears? During the 90’s I think we all called Sears HQ with comments on ways to avoid their self destruction.

    One could argue Sears pioneered the Internet. Anyone remember Prodigy (online service)? Sears hit with Prodigy before NetZero, AOL and the others.

    Sears could have been a contender.

  4. George

    “Clicks Smash Bricks Remix: Sears Could’ve Been Amazon. Here’s How It Blew Its Chances.”

    Didn’t Sears used to be like Amazon about 120 years ago??

  5. Ahhhh dude! Give up my inside position? LMAO! Players play odds, house plays probability and regulators play potential and even the “eye in the” sky answers to them. Just like you have two teams in any sport, the fans and the hot dog venders and get ya fressssssh peanuts!

    Nobody plays against the Ref’s.

    What are the odds up to George? Is it Go time?! God drives a Buick! ;)

    The whole casino is one big mind fck. Everything from the busy carpet to the plane ceiling that has people watching you but uou cant see them. The chairs are all designed to pull back to the machine. Under the guise of keeping them all in order and straight but its really a subtle tug to keep ya plug in and pounding on that button. Average of 8 spins a min. At max bet of $5 thats $40 a min…

    They make billions taking $0.03 to $0.05 at a time. ;)

    I could tell ya more. Think bout it. In got some other mothers vying for my attention. And now they know something they didnt. I used to run the place. Ha ha ha

    ;)

    • As matter of fact, i just saw the Slot Director at one of the places I used to run yesterday. I walked up behind him and started singing “Bad boys, bad boys whatcha gonna do? Whatcha gonna do when “they” come for you?” He put his hands behind his back and laughed. Offered me a job in security. Ha ha ha ha!

      I told him no thanks! Im driving, now. Uinion gig. He smiled and said “good luck”!

      I am banned, perm bared from his casino. Cause i went in there 3 years after i worked there running and deregulating everything, and won 3 jackpots in under an hour. It was fare and square. Im an honest man. However, they didnt wanna chance it and politely offered me my job back or to not come back. I choose to leave them be. Ha ha ha ha.

      Hit one for $6000, 2 min later hit one for $4800, hit my 3rd for $2900 and the next thing i know, im talking to the regulator’s, slot services and the casino Vice president. Ha ha ha ha ha!

      Still hold the record for the fastest ‘hat trick’ they ever had. :D

  6. “Sell in May and go away” may no longer be applicable. I knew this saying when the local can of beer sold for less than $0.10 which same now sells for $2.75

    There is just too much money in the world. Why would an art piece (metal statue of a “rabbit”) sell for abt. $93 million Dollars?

    We need, indeed, a currency reform, after some heads must roll first just to make a statement that “you cannot f*ck with the electorate” for ever. ;-((

    • Capitalism is built on deregulation and chasing the profit,without all that money sloshing around in the system it would simply wither away on the vine and die,which in itself is not such a bad idea.!!!

      • Hmm… I would debate it.its true that the true sense of deregulation does promote capitalistic society. What would have evened it up is if there had been regulations on outsourced from the beginning. Like taxing incoming goods and services. Taxing money made in the USA. Make a buck pay a tax just like the little guy..
        But then socialism has been more prosperous since deregulation.
        There has to be limits on everything..
        Just view a photo of Detroit before deregulation and NAFTA and then one of today..

  7. Like to give a little “shout out” to the lurker “emeko”. Hows that einstein kid doing? He sure is working a ton of OT. Yes i seen him prior to “satoh”. Saw him when i said hello. I never forget a face. I got a good memOrey. Kinda goes like this.  “I was most frightened. Waitin’ for my turn. I’ll never put on a lifejacket again. So, eleven hundred men went into the water. 316 men come out, the sharks took the rest, June the 29th, 1945.”

    Go fish!

    I do appologise George, we go back a dozen years, these guys are all up on me like im the Big Dude. Im the little dude. The Big Dude, well He is running the whole show now. Im just on vacation here. Lol!

  8. So, yesterday, as I was listening to our local talk show radio station which highlights a real estate forum, and a man called in talking about his house, his mortgage, his equity, and paying off the mortgage early, it occured to me. I was hearing this: that old story of a man, before the stock market crash of 1929, listening to the elevator man as he shared his stock tips. That man then went and sold his stocks because he realized it was a bubble, and thus, he preserved his capital before the crash.

    As I listened to this man planning for his equity, and I realized I was hearing the same warning but updated for these times. Real Estate, the great Equity bubble. The great ‘mind’ wealth game. The last crash in 2008, took out 10 million homeowners across the USA. I wonder how many more millions will lose their homes in the next crash?

    This is important to understand as it affects us all: http://laissez-fairerepublic.com/TenPlanks.html

  9. Is medical marijuana the answer to the opiate epidemic? If so, marijuana stocks look like a good investment since the industry is relatively legally new. I looked at a couple of marijuana stocks & the price seems high since they had negative earnings which goes against my grain. But the industry seems poised for explosive growth. Has anyone looked at marijana stocks on the exchanges?

    • Constellation Brands (STZ) – solid brewer,earnings growth, nice dividend – owns 50% of Canopy (CGC) with option to acquire more. STZ gives you CGC basically for free.

    • Oh I think they are drooling idiots for not legalizing,taxing,regulating,and researching the plant..

      First off.. the people that will use it for recreational are anyway.. legalizing it would reduce prison population. Saving billions..
      2nd. Taxing it would just about pay off the national debt.
      3rd. Auto Accidents have been reduced . The ones there are have alcohol involved
      4th. It does the same thing as opiates without the addictive side affects.
      5th. Research has been showing wonderful medical advances in miracle drugs
      6th.. there is literally fifty thousand useful products from fire resistant panels to food products.
      7th. The plant like algae can easily be converted to fuel .
      On and on.. reduction of violent crimes reduction in other drug abuse..the lowering of crime overall..
      It even eats radio active waste.
      It’s just a no brainer from my perspective..
      Regulate it tax it research it..
      The positive outweighs the negative so vastly that you don’t have enough paper to list the pro’s

      Unfortunately… if lobbyistsfrom various corporations and drug cartels that are willing to donate billions to Congress to keep it illegal the odds are it will mostly remain that way.
      I would love to own a few hundred shares though.. who knows..

  10. That article is dumb about sears could have been Amazon. Sears had a shelf life of over 100 years. Amazon will be lucky to have half of that. Lol. I mean sears was selling laudin to wagon trains. Amazon been around for what? 20 years??? Respectively hoe much money has Sears made in over 100 years compared to Amazon in 20? Stupid amounts more!

    Plus seers had the wishbook! and probably holds the hands down record for most fantasy’s in 50 years of teenageboys in its underwear section. Lmao!

    Seers uhem sears is definitely in the top 2 for popular population control of teen age men.

    Maybe Fredricks of Hollywood catalog holds more but i doubt it.

    • Plus sears was getting paid real money for years. Like $20 gold coins and $1 silver rounds. Not made up digi crap and paper promissory notes. Lol

      You know what i miss? Sitting on the crapper reading JC whitneys catalog. You could build an entire 65 mustang out of there or a kit cobra jet. Good stuff.

  11. Stu is offering his new book on PDF plus continuing access to his posts for $10 Paypal. His new posts are password protected. I won’t spoil the fun of following the trail of breadcrumbs to get to the password. No local gossip in the newest dark post, just Nosty rapier geopolitical commentary.

  12. BondarealtrealetI, making it happen. The red hen gives her her golden egg. The Gawd of Thor, lightning and hammer of whome wed is is named, brings for-tune andi see it through to true. ******

    Bunches happening behind the scene, material reality is manifested after-wards.

    Ever notice that the $ is, “is”. Eye’s to sea, tear of joy. Im just Me, Me and mii, all three. ROTFLMFAO!

    Bunches! happenning that most dont know dont know or see.

    Doesnt mean it isn’t happening, just cause ya dont see it.

    • Been a while since i composed a real script, George. Working on construction and taking me focus off of the “doom wagon”. I been mostly just watching and observing others last few years giving it a go.

      Why not, me? I’s got eyes to see and skills.

      Found a key yesterday, reminded me of back in the days of Keyyybe and TICICIT. So, i figured something k-new out of the blue. :)

      See ya l8r

      Andy

      • Ha ha hs. Well my mind is moving faster than light. I been working 14 hour days. Say George, did you know Bon means good? It does. I didnt know that till the other day. A license plate told me. Lol

        A looong time ago, we talked about words and letters being currency. Instead of thowin pearls to the swine, going to get mine. There are a few differnt kinds of mine’s. The kind that go boom, the gold kind and the belongs kind.

        Actually gave the Subaru to homeless person last week. Wrote it to fruition. Some one wrote on the bumper “subaru war machine” at the store a while back. . Like i said, pure Gold. ;) doesnt cost anything to be kind.

        Im just pulling from my investment seed and wrap it all up around me to produce, what i want. You know.

      • When one is a living co-creator with the Greatest Force, it’s actually hard NOT to take our under-study roles seriously. Yet, there are people who see things as only a here and now, and then, only a string of transactions, not creations. Damn shame.

      • Instead of “write when you get rich”. Im right writing to get wwealthy. I been seeding for about 7 years. Bumper crop!
        I figured out something a long time ago.

        You know how the PTW do that thing where they put flashes of stuff in movies then when stuff happens somebody on a conspiracy site says “look that sh!t was in a Simpson’s cartoon!!” All after the fact. And all the sheep go whoooaaaa awwww eewwww ohhhhh.. So, im just using the same principle to manifestation what i want.

        Dont have to reinvent the wheel. Lol

        Pretty simple really. Its all just math. Lol

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