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People asking about BTFD indicators:

I have tons of these..

BTFD #1 - Capitulation zone
BTFD indicator #2

Maximum pessimism and Capitulation zone

BTFD indicator #3:

capitulation zone:

BTFD indicator #4

Capitulation zone:

Blah.. blah.. blah.. and other 10+ BTFD indicators.

Looking for confluence & confirmation among BTFD indicators.

Bonus BTFD indicator #5

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More from @kerberos007 see all

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Kerberos007
@kerberos007
my favorite strategy

$XLY & $WMT spread z-score

entry
z < -1 std => long 1/3 of total lots
long WMT & short h * XLV

z < -2 std => long 2/3 of total lots

profit
z > 0 std => out 1/3 lots
z > +1 std => out 1/3 lots
z > +2 std trailing 1/3 lots

stop
z < -3 std. out.
XLY-WMT spread vs $VIX

when XLY-WMT z-score < -1 std (greed zone), #VIX spiking secured in 1-2 wks time-frame

should be confirmed by many of my other breadth & Jaws indicators

also huge warning, when VIX crushed, but the spread rising. stealthy sector rotation in Jan 2018
The 4+ year correlation b/w
1 XLY-WMT spread z-score
2 $VIX
3 > 0.7

tradeable corr & z-score

how about I scan tons of other similar growth/value sectors & stocks, charting their spread z-score & corr with VIX & Sector ETF? along with PCR

Hmm greatest breadth indicator ever?🧐
Read 19 tweets
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Kerberos007
@kerberos007
a derivative of this arbitrage strategy is to time your favorite stock

1 if I prefer over based on fundamentals & other economic factors

2 wait for > than ; spread > 2 std

3 then, long ,; short

4 with money mgmt of -10% stop loss and position sizing
Hedging or pair trading with SPY, QQQ & SPY-500 sector ETFs

criteria

1 correlation>0.8
2 co-integration pvalue<0.05
3 ADF stationary pvalue<0.05

long your favorite stocks & short the index & sector ETFs

or

short , & long your favorite index & sector ETFs

1 of 3 Image
Hedging or pair trading with SPY, QQQ & SPY-500 sector ETFs

criteria

1 correlation>0.8
2 co-integration pvalue<0.05
3 ADF stationary pvalue<0.05

long your favorite stocks & short the index & sector ETFs

or

short , & long your favorite index & sector ETFs

2 of 3 Image
Read 5 tweets
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Kerberos007
@kerberos007
Pair trading thread from the top

below is the pair trading selection from QQQ-103 stocks

criteria
1 correlation >0.85
2 pair Engle-Granger co-integration test: p_value<0.05
3 ADFuller pair-spread stationary test: p_value<0.05
4 pair spread: paper by Engle-Granger (1987)

1 of 3 Image
below is the pair trading selection from QQQ-103 stocks

criteria
1 correlation >0.85
2 pair Engle-Granger co-integration test: p_value<0.05
3 ADFuller pair-spread stationary test: p_value<0.05
4 pair spread: paper by Engle-Granger (1987)

2 of 3 Image
below is the pair trading selection from QQQ-103 stocks

criteria
1 correlation >0.85
2 pair Engle-Granger co-integration test: p_value<0.05
3 ADFuller pair-spread stationary test: p_value<0.05
4 pair spread: paper by Engle-Granger (1987)

3 of 3 Image
Read 4 tweets

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