To quant followers:

A few good books for Christmas and New Year.

1 Machine Learning for Factor Investing R Version
by Tony Guida; Sep 1, 2020

2 Algorithmic Trading: A Practitioner's Guide Paperback – by Jeffrey M Bacidore; July 20, 2020
3. Machine Learning for Algorithmic Trading: Predictive models to extract signals from market and alternative data for systematic trading strategies with Python, 2nd Edition Paperback – July 31, 2020
by Stefan Jansen

- this is the best one for 2020 from my reading list.
For newbie Algo traders. Free

a great introductory algo book written by a real trader & well-respected hedge fund mgr, who divulged some of his most profitable strategies

Trading Evolved: Anyone can Build Killer Trading Strategies in Python Kindle (free)

by Andreas Clenow
for "super duper theoretical" oriented Volatility/VIX options traders:

Euan Sinclair's book is still the best; a classic vol trading book, requiring super smart math background to comprehend 👌

"Volatility Trading, 2nd edition April 1, 2013"
by Euan Sinclair

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More from @kerberos007

18 Dec
if our beloved $SPX tanks 20-30% from here, I would post a looooong BTFD list 😉

stay tuned.

it is coming 🤣
$USD up
$VIX up

$USD up
$VIX up
$SPX down

the correlation between $USD and $VIX > 50%,
since March

If USD == up and SPX == up
STFR 👌

if USD ~= 85:
sky is falling 🤣

Plus $JPY correlation,
$JPYAUD up
$VIX up

$VIX up
$JPYAUD up
$SPX down

$JPYAUD and $VIX correlation > 60%

$JPY up
$VIX up
$SPX down

super leading indicator.. 👌🧐
Read 10 tweets
17 Dec
Equity call/put ratio (equity PCR inverted)
vs
$GEX

correlation>54%

both at "maximum optimism" lvl

plus

NYSE short-interest at lowest level in the last 10 years as posted Sun

what could go wrong?🧐

No more shorts to squeeze
all traders are super bullish, all-in, fomo

👇👇
Dec 16th:

from my magic screener:

STFR idea:

two super over-valued stocks

1 ACGL: close 35.40; high valuation & analysts downgrade
2 AAL: close 16.86; super over-valued; poor analyst rating

STFR & lotto tickets. 🧐👌
Dec 16th:

SPX
vs
ISEE All Equity Call/Put ratio (20day-SMA) * 100

Maximum Optimism

all-in calls, euphoria, fomo.

what could go wrong? bullish++ 🔥
Read 5 tweets
22 Oct
monitor below chart closely.

$NQ just re-tested the lower support level

$NQ low = 11,598

they can't allow to plunge below 11,600 level.

otherwise, tomorrow bloodbath.

see below Support & Resistance levels

super accurate😉

stop-run levels on both sides: bulls & bears👇
$NQ support & strong resistance levels

4-hr chart since Aug

$NQ above 11,600 = strong support (late Aug)
once breaking down below 11,600 (in Sep), then
it became strong resistance

then,

once it breaking above 11,600 (in Oct), it became strong support

super accurate TA? 😉 Image
$NDX (not $NQ)

$NQ futures has ON real volume

$NDX is an index; there is no real volume

$NDX volume is approximated by aggregating volumes from individual component stock using weighted avg

not 100% accurate, but close for our purposes.

below: use your imaginations Image
Read 112 tweets
17 Oct
volatility tips: 😉

why "volatility always came in clusters"? people ask

50% fundies & 50% technicals:

1 fundies/shocking-news triggering the first wave spike
2 people not prepared for the shock, scramble to buy protections
3 sell risky assets
4 rotate to safe-havens

#1 of 3
5 trigger dealer & MMs Gamma flip level, exacerbating the VIX spike 2nd wave

6 which in term trigger the over-leveraged weak-hand longs, hitting stop loss levels & margin calls- 3d wave

7 risk-parity funds portf rebalance due to sudden plunge in risky assets. trimming

#2 of 3
8 60+% of commodity/futures leveraged funds, employing momentum/trend based strategies w/ trend detection & stop-loss levels for flipping to short, got flipped, huge force to the dn side: 5th wave

9 massive momentum factor-based passive smart ETFs algo rebalance & risk-off: 6th
Read 6 tweets
8 Oct
Trump sent call buying signal to his paid service subscribers 10 minutes in advance. 🧐

$REGN OTM calls to da Moon tomorrow.

Blatant stock market manipulation "legally"?

where is $SEC ? 🙃
Read above post

Where is SEC?
conspiracy?

Trump is

1 "car" salesman (OTM calls) for stonks
2 insider trading paid service Ponzi sponsor
3 selling insider information for profit
4 blatant stock market manipulation

proof? conspiracy?

$SEC investigate?

call vol & call OI 👇
Options stats as of Oct 7th Close

screen: heavy call volume

Stocks with heavy call volume = > 5x 60-day average.

ratio = today volume / 60-day average volume >= 5

marked pink ==> ranked by highest ratio..
Read 6 tweets
3 Sep
People asking about BTFD indicators:

I have tons of these..

BTFD #1 - Capitulation zone
BTFD indicator #2

Maximum pessimism and Capitulation zone

Read 5 tweets

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