STOCHASTICU

STOCHASTICU

As a demonstration for how to use the multi-asset portfolio indicator, I decided to use this particular weighting scheme as it is a great, simple mid-risk allocation scheme for now. Subjected to minimal variance due to a low beta, exposure to volatility purely through the market is mostly done through a singular asset (VTI), whereas the other non-fixed ticker...

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An interesting bubble has just burst, sending tech values lower, albeit still nowhere lower than pre-2020. Instead, it seems that tech is hoping to make a comeback faster than expected (at least, for the stocks which survived the burst). In this case, we can look at a choice between SPY and QQQ; one would choose SPY when it goes in the red for short term gains as...

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In this case we normalize the ratio between SPY and FDLO (one of the better-performing min-volatility etfs of the year) to the start of the year. We can clearly see a shift in favour of a min-volatility portfolio as of late. Performing efficient frontier upon FDLO to narrow down our investments, we see that, for maximizing a Sharpe ratio at the current 3-month...

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Given the news, entry time is probably coming up now. Observe that volatility is greatest at the day's beginning and therefore it might suffice to place your buys accordingly. An offsetted trailing stop might be best imo.

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In this case an increase is seen if either AMD lowers or INTC rises (or both). momentum seems to suggest that we are going to see prices end up in the fair zone from INTC's overbought/AMD oversold.

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Typically preceding a large shift in price (in either direction, it seems), this signal has likely been breached again. One should, however, themselves calculate the correlation of this effect before employing this strategy (I may at a later date).

STOCHASTICU

For the next few weeks, it seems we are unlikely to see much volatility. Should a second wave come, be wary of the volatility which might change things as we saw in March. In this case, a GARCH(1,1) is used to forecast variance 10 steps ahead (indeed, GARCH(1,1) while being a lazy assumption, has been shown in literature to be outperformed only marginally by more...

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Using MACD and RSI, await a crossover and proper signal crossover for a buy/sell signal

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Expect some short term upwards momentum should the crossover indeed occur.

STOCHASTICU Updated 

Fast oscillator is currently pulling below slow, probably resulting in more downwards activity.

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Likely to go down rather low. With liberally set RSI at 70/30, take the green band's value as your potential buy signal.

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This has worked well for long positions in terms of selling during major shifts. Sell whence the price crosses at least one band and if both upper bands intersect in some period of time preceding or succeeding this crossover (say, for instance, a week).

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Decent performance as of lately, potentially exists better input vals for over/underbought and length for RSI.

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Likely to see a reversal in trend back to some USD gains in the next week. Note that the extrapolations are done via EMA, though general conformity is seen to real rsi bounds.

STOCHASTICU Updated 

Await to see if we peak in terms of momentum; projections via SMA at different lengths project moderate decline over the course of week.

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This pattern has been decently consistent - expect the peak in the next few days and prepare to buy thereafter

STOCHASTICU Updated 

With this strategy having performed relatively well during the pandemic, while we do see the upwards trend continued in short term projections; one should at least await for a cross below overbought to get a fair price. Interesting observation: SMAs fitted to the RSI are converging; such also occurred at the last "big jump" and at the begging of the last slow...