ZSL/JDST: Potential Long OpportunityZSL/JDST pair is signaling a Long position at the close of yesterday, supported by multi indicators, suggesting a promising opportunity.
ADX : Indicates no trend at present, and a quick look at the daily chart confirms it.
Correlation : remains very high in the last few weeks.
Close price : closed below lower BB.
Historical test : I would be happier with more historical opportunities in the last few months to test, but generally it seems okay.
Pairtrading
OHI/SBRA: Potential Long OpportunityOHI/SBRA is showing a signal for a long position starting today, and all indicators support what appears to be a promising opportunity.
ADX: Indicates no prevailing trend in the pair.
Correlation: Remains high.
Price: Positioned in the oversold area.
I will monitor the market throughout the day and make a final decision on this trade by the day's end.
FANG/EOG: Potential Short OpportunityFANG/EOG is showing a signal for a Short position after the end of yesterday, and all indicators support what appears to be a promising opportunity.
ADX: Indicates no prevailing trend in the pair.
Correlation: Remains high.
Price: Positioned in the overbought area.
New pair trading opportunity today?VGK/EXG is showing a signal for a long position starting today, and all indicators support what appears to be a promising opportunity.
ADX: Indicates no prevailing trend in the pair.
Correlation: Remains high.
Price: Positioned in the oversold area.
I will monitor the market throughout the day and make a final decision on this trade by the day's end.
Trade Recap: MEDP & LSCC - 24/4/24 to 25/4/24Market Context and Indicators (Closing of 23/4/24):
Directional Movement Index (DMI):
* DI+: 42.59
* DI-: 11.53
* ADX: 19.75 (indicating a weak trend)
Stochastic Oscillator:
* %K: 94.34
* %D: 98.11 (both in the overbought territory)
Correlation:
* MEDP & LSCC: 0.8852 (strong positive correlation)
Trade Information:
MEDP Position:
* Position: Short
* Entry Price: $415.00
* Exit Price: $406.00
* Duration: 24/4/24 morning to 25/4/24 mid-day
LSCC Position:
* Position: Long
* Entry Price: $70.39
* Exit Price: $72.35
* Duration: 24/4/24 morning to 25/4/24 mid-day
Analysis and Strategy:
Given the strong positive correlation of 0.8852 between MEDP and LSCC, paired with the overbought levels of %K and %D on the Stochastic Oscillator, we identified a potential reversal opportunity. The ADX at 19.75 suggested a weak trend, which further supported the hypothesis of an imminent price correction.
Trade Outcome:
* MEDP: Achieved a successful short trade with a profit of $9.00 per share.
* LSCC: Achieved a successful long trade with a profit of $1.96 per share.
These trades exemplify the effectiveness of leveraging correlation and technical indicators to capitalize on market movements.
Key Takeaways:
Utilize Correlation: Understanding the correlation between assets can provide insights into potential price movements.
Monitor Indicator Levels: Overbought and oversold conditions, combined with trend strength indicators, can highlight profitable trading opportunities.
Adapt to Market Conditions: Weak trends, as indicated by ADX, often present good reversal trading opportunities.
Stay tuned for more trading ideas and market insights!
Navigating Interest Rates with Micro Yield Futures Pair TradingIntroduction to Yield Futures
In the complex world of financial markets, Treasury Yield Futures offer investors a pathway to be exposed to changes in U.S. treasury yields. Among these instruments, the Micro 10-Year and Micro 2-Year Yield Futures stand out due to their granularity and accessibility. These futures contracts reflect the market's expectations for the yields of U.S. Treasury securities with corresponding maturities.
Micro 10-Year Yield Futures allow traders to express views on the longer end of the yield curve, typically influenced by factors like economic growth expectations and inflation. Conversely, Micro 2-Year Yield Futures are more sensitive to changes in the federal funds rate, making them a ideal for short-term interest rate movements.
Why Pair Trading?
Pair trading is a market-neutral strategy that involves taking offsetting positions in two closely related securities. This approach aims to capitalize on the relative price movements between the two assets, focusing on their correlation and co-integration rather than their individual price paths. In the context of Micro Treasury Yield Futures, pair trading between the 10-Year and 2-Year contracts offers a strategic advantage by exploiting the yield curve dynamics.
By simultaneously going long on Micro 10-Year Yield Futures and short on Micro 2-Year Yield Futures (or vice versa), traders can hedge against general interest rate movements while potentially profiting from changes in the yield spread between these maturities.
Analyzing the Current Market Conditions
Understanding the current market conditions is pivotal for executing a successful pair trading strategy with Micro 10-Year and Micro 2-Year Yield Futures. Currently, the interest rate environment is influenced by a complex interplay of economic recovery signals, inflation expectations, and central bank policies.
Central Bank Policies: The Federal Reserve's stance on interest rates directly affects the yield of U.S. Treasury securities. For instance, a hawkish outlook, suggesting rate hikes, can cause short-term yields to increase rapidly. Long-term yields might also rise but could be tempered by long-term inflation control measures.
Strategic Approach to Pair Trading These Futures
Trade Execution and Monitoring
To effectively implement a pair trading strategy with Micro 10-Year and Micro 2-Year Yield Futures, traders must have a solid plan for identifying entry and exit points, managing the positions, and understanding the mechanics of yield spreads. Here’s a step-by-step approach:
1. Identifying the Trade Setup
Mean Reversion Concept: In this strategy, we utilize the concept of mean reversion, which suggests that the yield spread will revert to its historical average over time. To quantify the mean, we employ a 20-period Simple Moving Average (SMA) of the spread between the Micro 10-Year and Micro 2-Year Yield Futures. This moving average serves as a benchmark to determine when the spread is significantly deviating from its typical range.
Signal Identification using the Commodity Channel Index (CCI): To further refine our entry and exit signals, the Commodity Channel Index (CCI) is employed. The CCI helps in identifying cyclical turns in the spread. This indicator is particularly useful for determining when the spread has reached a condition that is statistically overbought or oversold.
2. Trade Execution:
Going Long on One and Short on the Other: Depending on your analysis, you might go long on the Micro 10-Year Yield Futures if you anticipate the long-term rates will increase more relative to the short-term rates, or vice versa.
Position Sizing: Determine the size of each position based on the volatility of the yield spreads and your risk tolerance. It's crucial to balance the positions to ensure that the trade remains market-neutral.
Regular Review and adjustments: Regularly review the economic indicators and Fed announcements that could affect interest rates. Keep an eye on the spread for any signs that it might be moving back towards its mean or breaking out in a new trend.
Contract Specifications
To further refine our strategy, understanding the specific contract details of Micro 10-Year and Micro 2-Year Yield Futures is crucial:
Micro 10-Year Yield Futures (Symbol: 10Y1!) and Micro 2-Year Yield Futures (Symbol: 2YY1!):
Tick Value: Each tick (0.001) of movement is worth $1 per contract.
Trading Hours: Sunday to Friday, 6:00 p.m. to 5:00 p.m. (New York time) with a 60-minute break each day beginning at 5:00 p.m.
Initial Margin: Approximately $350 per contract, subject to change based on market volatility.
Pair Margin Efficiency
When trading Micro 10-Year and Micro 2-Year Yield Futures as a pair, traders can leverage margin efficiencies from reduced portfolio risk. These efficiencies lower the required capital and mitigate volatility impacts.
The two charts below illustrate the volatility contrast: the Daily ATR of the yield spread is 0.033, significantly lower than the 0.082 ATR of the Micro 10-Year alone, nearly three times higher. This lower spread volatility underlines a core advantage of pair trading—reduced market exposure and potentially smoother, more predictable returns.
Risk Management in Pair Trading Micro Yield Futures
Effective risk management is the cornerstone of any successful trading strategy, especially in pair trading where the goal is to mitigate market risks through balancing positions. Here are key risk management techniques that should be considered when pair trading Micro 10-Year and Micro 2-Year Yield Futures:
1. Setting Stop-Loss Orders:
Pre-determined Levels: Establish stop-loss levels at the outset of the trade based on historical volatility, maximum acceptable loss, and the distance from your entry point. This helps in limiting potential losses if the market moves unfavorably.
Trailing Stops: Consider using trailing stop-loss orders that move with the market price. This method locks in profits while providing protection against reversal trends.
2. Position Sizing and Leverage Control:
Balanced Exposure: Ensure that the sizes of the long and short positions are balanced to maintain a market-neutral stance. This helps in minimizing the impact of broad market movements on the pair trade.
Leverage Management: Be cautious with the use of leverage. Excessive leverage can amplify losses, especially in volatile market conditions. Always align leverage with your risk tolerance and market assessment.
3. Regular Monitoring and Adjustments:
Adaptation to Market Changes: Be flexible to adjust or close the positions based on significant changes in market conditions or when the initial trading assumptions no longer hold true.
4. Utilizing Risk Management Tools:
Risk Management Software: Set alerts on TradingView to help track the performance and risk level of your pair trades effectively.
Backtesting: Regularly backtest the strategy against historical data to ensure it remains effective under various market conditions. This can also help refine the entry and exit criteria to better handle market volatility.
Effective risk management not only preserves capital but also enhances the potential for profitability by maintaining disciplined trading practices. These strategies ensure that traders can sustain their operations and capitalize on opportunities without facing disproportionate risks.
Conclusion
Pair trading Micro 10-Year and Micro 2-Year Yield Futures offers traders a sophisticated strategy to exploit inefficiencies within the yield curve while mitigating exposure to broader market movements. This approach leverages the distinct characteristics of these two futures contracts, aiming to profit from the relative movements between long-term and short-term interest rates.
Key Takeaways:
Market Neutral Strategy: Pair trading is fundamentally a market-neutral strategy that focuses on the relative performance of two assets rather than their individual price movements. This can provide insulation against market volatility and reduce directional risk.
Importance of Strategy and Discipline: Successful pair trading requires a disciplined approach to strategy implementation, from trade setup and execution to ongoing management and exit. Adhering to a predefined strategy helps maintain focus and objectivity in trading decisions.
Dynamic Market Adaptation: The financial markets are continuously evolving, influenced by economic data, policy changes, and global events. A successful pair trader must remain adaptable, continuously analyzing market conditions and adjusting strategies as needed to align with the current economic landscape.
Comprehensive Risk Management: Effective risk management is crucial in pair trading, involving careful consideration of position sizing, stop-loss settings, and regular strategy reviews. This ensures sustainability and longevity in trading by protecting against undue losses.
By maintaining a disciplined approach and adapting to market changes, traders can harness the potential of Micro Treasury Yield Futures for strategic pair trading, balancing risk and reward effectively.
When charting futures, the data provided could be delayed. Traders working with the ticker symbols discussed in this idea may prefer to use CME Group real-time data plan on TradingView: www.tradingview.com This consideration is particularly important for shorter-term traders, whereas it may be less critical for those focused on longer-term trading strategies.
General Disclaimer:
The trade ideas presented herein are solely for illustrative purposes forming a part of a case study intended to demonstrate key principles in risk management within the context of the specific market scenarios discussed. These ideas are not to be interpreted as investment recommendations or financial advice. They do not endorse or promote any specific trading strategies, financial products, or services. The information provided is based on data believed to be reliable; however, its accuracy or completeness cannot be guaranteed. Trading in financial markets involves risks, including the potential loss of principal. Each individual should conduct their own research and consult with professional financial advisors before making any investment decisions. The author or publisher of this content bears no responsibility for any actions taken based on the information provided or for any resultant financial or other losses.
#PAIRtradeIDEA Long WHL vs. Short TRUWoolworths has reversed off its bottom channel of relative strength vs. Truworths. RSI and MACD relatively depressed and should start to turn up. With the current state of the economy I believe Woollies should be better placed to withstand the economic storm than Truworths which is predominantly more of a 'luxury' clothing retailer. I think Woolies Food component should be the difference here into the next few weeks. In an inflationary and high interest rate environment, people still need to eat, they don't really need new or expensive clothes.
On this fundamental basis and because I like the technicals I am looking to put on the trade as follows:
Entry - 0.90 to 0.94
Stop loss - 0.84
Target 1 - 1.06, Target 2 - 1.12
If you manage to reach both targets with an average of 1.09 exit,
We are looking at roughly 0.19 upside at a 0.90 entry for a risk of 0.06 which makes this a good 3:1 risk reward ratio
Happy Trading <3
Addendum to “The Turning Tides”Following our initial publication, we've received some astute feedback that warrants further and more in-depth discussion. A reader correctly noted that the DAX and Euro STOXX 50 differ in their treatment of dividends - a detail we initially glossed over for simplicity's sake. The DAX is a performance index, including dividends, while the Euro STOXX 50 is a price index, excluding dividends. Understandably, it's a distinction that does play a role in their historical performances. It's also worth noting that a more apple-to-apple comparison to the DAX Index future might be the Euro STOXX 50 Index Total Return future (TESX). However, we originally chose the more popular FESX future due to its better liquidity and much longer history (TESX was only launched in 2016). In addition, the availability of Micro future contracts also makes it more retail friendly.
Our primary exploration focused on overarching macroeconomic factors and sectoral shifts, which are pivotal to understanding the relative performance between the indices. However, dividends' contribution to long-term performance is undeniably significant. Therefore, it is prudent to revisit our DAX-to-STOXX50 comparison, this time adjusting for dividends.
For this purpose, we've chosen the SPDR® EURO STOXX 50® ETF (FEZ) as a proxy for a dividend-adjusted STOXX50. The ETF seeks to provide investment results that, before fees and expenses, generally correspond to the total return performance of the STOXX50 Index, and it has been around since 2002. One thing to note about FEZ is that it’s USD-denominated; therefore, we need to consider EUR/USD exchange rate move over the years in order to get as close a proxy as possible.
Here's an updated chart of the DAX vs. the dividend and exchange rate adjusted STOXX50 ETF. The revised perspective still affirms DAX's relative outperformance over the past decade, although less pronounced than the FDAX vs FESX futures comparison suggests.
On a closer look at the ratio between the DAX and the dividend-adjusted FEZ, a clear and massive topping pattern emerges, and it has arguably broken the neckline support. In other words, it appears that the DAX is likely going to continue underperforming the STOXX50 on a dividend-adjusted basis. (Due to certain technical limitations on TradingView, the following chart is presented as dividend and exchange rate adjusted FEZ/FDAX but on an inverted scale. Effectively, this means we're still viewing the FDAX/FEZ relationship.)
This finer detail serves as a reminder of the multifaceted complexity within financial markets and the multitude of factors influencing asset performance. It also underscores the invaluable contribution of reader feedback, enabling us to deliver deeper, more nuanced market analyses. We deeply appreciate your active engagement and eagerly anticipate further enriching discussions.
Sigificant double breakout in ETH/BTC. Will likely outperform.Narrative is overly bearish ETH due to position in market cycle. ETH is a different asset compared to 2018 however, with substantially better supply dynamics than Bitcoin, increasing average returns for ETH over BTC.
The charts reflect this. A signicant double breakout on the charts recently suggests ETH is starting to breakout of its downtrend against BTC which could signal more significant outperformance to come, particularly when the crypto market is less bearish.
Long ETH/BTC.
LONG $BTC / SHORT $NVDA PAIR TRADE ez pair trade overvalued tecc stonk vs future of finance / global reserve currency
nvda and many other tech stocks rallied 150% since the previous lows, i think its time btc plays catch up (currently up around 100%, previous bear market rally was ~340%)
nvda also has highest p/e ratio it has ever had (150 p/e) so i think this is a good option if you're looking for something to short
TSLA vs NIO: Buy and Sell EV's against each other v2!Okay so an update on a strategy we have been working on since well into early 2019. if you want to see the earlier chart it will be here or down below.
$1000
May 29 2019: Bought TSLA @$189.86 or 5.2 shares
a number of trades
October 26 2020: Sold NIO @$26.01 (cash $14,726) for TSLA @$420.28 or 35 Shares - total now 93.5 shares of TSLA
Current Total = 93.5 Shares of TSLA for value of $38516 or $37515 in profit
V2 starts with this refresh of the chart after a few splits.
An entire year went by until end of july 21 we started to see some slack in the market.
April 27 2022: Sold 93.5 shares TSLA @340.87 for NIO @18.28 or 1736
June 30 2022: Sold 50% of NIO 836 @22.01 for $19113 for tesla @301.76
NIO836 TSLA63
August 25 2022: Tsla split 189
September 6 2022: Missed a TSLA sell on Sept 6
October 31 2022: Tsla sell 189 @227.10 42921 Bought NIO @9.66 for 4443
total NIO 5279 shares
January 6 2023: Sold 50% NIO 2639 @9.82 25921 Bought TSLA 106.4 243 shares
February 15 2023: Sold TSLA @212.37 51735 for NIO @10.22 5062
Total 7701 Shares of NIO or $78708!
February 22 2023: didn't like what we see so we sold all NIO @10.14 $78088
50% cash 50% TSLA @$197.18 or 198 TSLA shares and $39042 in cash
$SPX: 2000 top overlaid on price...I really think we likely saw a long term top in equities and a major turning point in the various trends that we had since 2009 until recently. I copied the pattern from the high in the year 2000, to give us an idea of what to expect, since that was the last time a yearly timeframe Time@Mode pattern concluded, I think it can serve as a guide from here onwards. Publishing this one for posterity, it's interesting that we already have a Dot Com bubble like chart in $ARKK monthly, definitely very critical to figure out if we already topped, as per the yearly, or if we get a different bear market pattern next. In my opinion, the massive excess we saw since 2020 post COVID, with increased retail participation is akin to the frenzy that started in the year 1998, and topped by 2000, which would fit today being equivalent to that period.
I will try to navigate this period profitably, my strategy is to have a long/short portfolio, buying interesting bullish setups in stocks with lower valuations, commodities related positions, and defensive names, all that have historically fared well during yearly trend expirations when bear markets and long term sideways consolidations started, like between 2000 and 2013, or before, during the 70s. I also short overvalued names where I perceive that the story driving them is exhausted, and are rolling over, with insane valuations and market participants complacent and buying option premium on the way down...while shorting options against my short positions. I manage risk carefully, and have split my portfolio in two: one trading account with 25% of my firepower, and 75% in a long term account where I have only long term long positions, no leverage, and try to sell calls to generate income while holding my long term bets.
Best of luck, let's hope we get further clarity over time. Fitting this scenario would result in a tricky period unfolding for months, but eventually we will get a really steady decline to trade more aggressively on the short side. Patience will reward us here, can't take big risks and expect to make money as a bear simply holding random bearish entries.
Cheers,
Ivan.
$AMZN: Topped long term, short itI'm short $AMZN from here, I had briefly ridden a daily down trend signal before, but now we have a massive monthly topping pattern kicking in. I think it is a good market hedge, and might be a great long term pair trade to short it against energy longs as the ultimate reopening/end of the stay at home bubble trade. Bezos leaving was the kiss of death, antitrust risk is massive for the company, I can see this become a lengthy and very painful decline for shareholders. Better abandon ship ASAP .
This might be the canary in the gold mine for FANG as well, the rally since 2009 lows is likely over and we can expect a 2000-2012 style move again. Lots of pain for hodlers, don't be left holding Bezos' bag here.
Best of luck,
Ivan Labrie.
Etherium versus Bitcoin: Chart Edition. Bull or Bear?The beauty about crypto trading is:
1. 24/7 wordwide. You can trade on the worlds crypto exchanges from anywhere that's not authoritarian
2. The charts are beautiful
3. The crypto industry is getting legit. bad players are getting shown the exit. Don't hold fake "stablecoins" unless who know which gangster/bankster "backs" them. Hint: Pay VERY ATTENTION to UK Regulators and BAD crypto exchanges their harbor in the British Isles!
Most important, TradingView provide wonderful perspective by comparing Key Pairs. The ETHBTC pair shows us Etherium is bulling compared to bull Bitcoin so, it's VERY Bullish.
Can the markets change directions? Sure, but from this summer, most people could see that the tide is turning between these two "blue chip" cryptos.
Crypto Allocation:
Etherium 40% ETH (the DiFi blockchains and payment powerhouse with ETH2's low gas fee, high speed and payment focus)
Bitcoin 40% BTC (The King of Crytp, battle tested, hard limit, no single head)
Altcoins: "This can't be real but heck, let's join the profit parade LOL" 20% FOMO fever, bull cycle fun
DOGE : Shitcoin, joke, meme, community supported
SHIB: Purely a hype play, don't fall in love, eye the exit doors before other do!
TROY: Long short shitcoin with great TROYBNB pattern charts to trade hard and sell hard. Wear gloves and don't trust hype coins... Troy could make a good "trading pairs - how to zoom in to pending moonshots comparing coins between each other"
Silver/Gold ratio: Silver is stretched compared to GoldI love the setup in the Silver/Gold ratio here. Big upside with super low downside risk if you trade it as a pair, going long 1 lot of Silver futures vs 1 lot short in Gold futures. There was a 14 week down trend signal that expires today, which predicts a relief rally of 14 weeks could occur starting here. The daily chart has a bullish trend signal confirming today as well. See the stop loss recommendation on chart, it is a 2.1% downside risk in the ratio, so, size your trade accordingly.
Best of luck,
Cheers.
Ivan.
Sell in May? A brief study on SEASONALITY (and stock picks)I am sure many have heard the saying “Sell in May and go away” in recent weeks. There is certainly a lot of evidence that May and the months that follow it do not have great track record of performance--
www.isabelnet.com
www.isabelnet.com
But does it mean BEAR MARKET? And are there any Seasonal Plays we could take advantage of? I think so. Some Sectors & Industries appear to generally do well (Gaming, Healthcare, IT/software) and others do poorly (Banking, Gold & Steel, Oil & Gas).
Criteria
Scanned Market Chameleon for Market Caps >$1 billion, Common stock types, with 7+ years of observations having good statistical success in May
(I made a quick indicator in Pine to highlight and help visualize the returns of a particular month over a span of time. It’s data may not line up with Market Chameleon’s Seasonality Screener results for a # of reasons, so I am giving them the final word and trusting their data over my script)
Market References
Market Indices ($SPY, $QQQ, $DIA, $IWM)
$VIX
-- The BEST Quadruplets of May --
Electronic Gaming & Multimedia ($EA, $TTWO, $ATVI, $ZNGA)
Good Sharpe ratios (0.92, 0.73, 0.49, 0.48)
Good Average and Median returns (median: 11.0%, 12.0%, 6.1%, 11.1%)
High % of Positive Occurrences (78%, 90%, 70%, 78%)
Aerospace & Defense ($HEI, $KTOS, $TDG, $WWD)
Good Sharpe ratios (0.98, 0.61, 0.56, 0.39)
Modest Average and Median returns (median: 4.6%, 13.0%, 5.2%, 2.9%)
High % of Positive Occurrences (89%, 70%, 60%, 70%)
Note: $HEI.A is actually technically a better performer than $HEI
Biotech ($REGN, $NBIX, $SRPT, $ALNY)
Overall Industry is strong in May
Great median and average returns
Note: This was a tough field as there are lots of good choices and ultimately comes down to the size of the standard deviation
Diagnostics & Research ($DGX, $ICLR, $ILMN, $EXAS)
Great Sharpe ratios (1.22, 1.19, 0.83, 0.72)
Great win rate
Low drawdowns
Honorable Mention: $CDNA scores great as well but does not have a ton of observations
Healthcare Plans ($UNH, $MOH, $CNC, $HUM)
Steady Eddy – low Standard Deviations, low drawdowns
Returns are nothing to write home about
Internet Content ($ZG, $IAC, $GOOGL, $NTES)
Pretty middle of the pack against other quads: good returns by median and average, good Sharpes, good % of positive returns
Packaged Goods ($STKL, $HAIN, $DAR, $BGS)
High win rate- 80%, 67%, 70%, 70%
Relatively speaking, drawdowns are not that bad to the Standard Deviation
Honorable Mention: $FRPT is a solid performer but not enough observations to be part of this group
Restaurants ($SHAK, $JACK, $TXRH, $CBRL)
Very high win rates- 100%, 90%, 80%, 70%
Modest returns, small draws
Chart is condensed because $SHAK hasn’t been listed for a long time (though there’s enough observations and its worth including into group) but here’s the chart w/o $SHAK--
Software Applications ($BMO, $WBK, $CS, $BBVA)
Incredible win rates- 100%, 88%, 75%, 88%
Worst returns/draws are TINY- 0.0%, -4.1%, -2.8%, -2.9%
Great Sharpe ratios
Not a ton of observations, smaller sample size
Software Infrastructure ($SPSC, $FIVN, $EVTC, $NEWR)
Great Sharpe ratios
Good Best returns vs Worst draws
Specialty Business Services ($CTAS, $UNF, $CPRT, $GPN)
Very high % of wins
Good Sharpe Ratios
Small Standard Deviations
-- The WORST Quadruplets of May --
Banks, Diversified ($BMO, $WBK, $CS, $BBVA)
High loss rates- 80%, 90%, 70%, 80%
The worst losses are, on average, about 3.2x greater than the best gains
High negative Sharpe ratios
Banks, Regional ($BBD, $ITUB, $BSBR, $FFBC
Great loss rates; average works out to a loss every May
The BEST gains are very small- +4.9%, +2.9%, +1.7%, +1.6% compared to the WORST draws- -23.0%, -20.5%, -17.4%, -13.6%
High negative Sharpe ratios
Farm & Heavy Construction ($OSK, $CNHI, $NAV, $CAT)
Small BEST gains compared to WORST draws- worst draws are about 3.44x greater than best gains
Mediocre negative Sharpes, modest negative averages/medians
Gold ($HMY, $GOLD, $NG, $BTG)
Industry as a whole seems seasonally depressed in May
High negative Sharpe ratios
Note: don’t confuse the TVC ticker for Gold (US$/oz) for the STOCK of the COMPANY $GOLD
Oil & Gas, E&P ($CPG, $MUR, $VET, $SM)
Oil & Gas industry in general is a terrible May performer
Industry in a general downtrend
High negative Sharpe ratios
Draw % isn’t terrific but the months that this industry gained are not strong
Oil & Gas, Equipment & Services ($FTI, $TS, $RES, $CLB)
Oil & Gas industry in general is a terrible May performer
High frequency of draws
High negative Sharpe ratio
Chart doesn’t do justice reflecting the WORST draws for May- averaging the worst comes out to -22.5%
Oil & Gas, Integrated ($E, $EC, $PBR, $SU)
Oil & Gas industry in general is a terrible May performer
Very high negative Sharpe ratio
Relatively low Standard Deviations
Specialty Industrial Materials ($FLS, $GE, $TRS, $XYL)
High draw % in May
Low Standard Deviations
Steel ($MT, $GGB, $SID, $CLF)
Very negative Sharpe ratios
Big Standard Deviations
High % draws in May- 80%, 90%, 70%, 80%
Tough field to select 4 from- industry in general does poorly in May
Telecom ($TEF, $VEON, $VIV, $TKC)
Good negative Sharpe ratios- -0.78, -0.65, -0.62, -0.58
Modest Standard Deviations
High % draws in May- 80%, 89%, 70%, 80%
Industry seems in a general long-term decline
Utilities - Diversified ($CIG, $OTTR, $AES, $ELP)
Good % draws in May- 78%, 70%, 70%, 70%
Despite general up-trend in Industry, does seem to do poorly in the month of May
MRNA long trade with a PPH hedgeI like MRNA long here and I feel it has closed a significant gap to the downside. The move today was quite bullish in terms of a reversal setting up and the Fib analysis shows that a potential retest of 135 zone may occur soon enough. This is in addition to some of the positive news that have been flowing on MRNA vs PFE vaccine usage as some states preferring MRNA due to low requirements on cold storage etc.
Nevertheless, I am not a fan of news driven trades and so I would like to pair this with a put hedge on PPH (figure below; courtesy @the_chart_life on Twitter). It is an interesting pair trade though PPH may not give me enough bang for the buck in case the market does turn and drag everything down with it. We shall see..