Mike Shell ๐บ๐ธ
23,957 followers
What if the market's expectation of future volatility is wrong?
asymmetryobservations.com/2018/09/25/vixโฆ
Volatility targeting can get crushed in volatility expansions.
asymmetryobservations.com/2018/09/25/vixโฆ
What the current level of expected volatility suggests of the stock market risk level.
asymmetryobservations.com/2018/09/25/vixโฆ
VIX level shows the marketโs expectation of future volatility
asymmetryobservations.com/2018/09/25/vixโฆ
A positive asymmetrical risk/reward occurs when the potential or realized reward is greater than the potential or realized loss.
asymmetryobservations.com/definitions/asโฆ
An Asymmetrical Risk/Reward is an imbalance between the risk and the reward.
asymmetryobservations.com/definitions/asโฆ
This is what we stand for.
Ooh-Rah to the Marines from @MBWDC that helped save lives and give honor to our name.
Retweeted by Mike Shell ๐บ๐ธ Who is going to win the #UFvsTENN game?
Florida Gators or Tennessee Volunteers?
#VolNation #GoGators #BeatTennessee #VolNavy #BeatFlorida #PoweredByTheT #GatorNation #Gators
@MikeWShell UT wins. FSU and UF in battle for 4th best team in Florida.
Retweeted by Mike Shell ๐บ๐ธ The -10% or so decline in February seemed to catch a lot of investors off guard, but it wasn't nearly as stimulating as the -15% declines in Aug 2015 and Jan 2016 when 80% of stocks were in a downtrend.
But, keep in mind after the majority of stocks are in an uptrend or downtrend, they eventually reverse the other direction. Increasing participation is good but eventually, it can reach an extreme.
Stock market breadth is improving as more stocks are participating in the uptrend as evidenced by 73% of stocks above their 200 day moving average. It also shows the broad participation up until February with 83% of stocks were in an uptrend.
At this time ten years ago, the decline in stocks was just getting started. By now, #LehmanBrothers was failing and the stock market had declined over -20%... but the market dislocation got a lot worse. Note the 2% between the $SPY and the S&P 500 Total Return Index.
Retweeted by Mike Shell ๐บ๐ธ It amazes me to hear an advisor constantly speak against the dirty deeds of Wall Street banks, but then charge their clients for just passive exposure to market risk/return through "global diversification". As if...
At this time ten years ago, the decline in stocks was just getting started. By now, #LehmanBrothers was failing and the stock market had declined over -20%... but the market dislocation got a lot worse. Note the 2% between the $SPY and the S&P 500 Total Return Index.
Time Series Momentum means the direction of assets own absolute price trend is a future predictor of its future trend. Applying time series momentum is a simple method for trend following.
asymmetryobservations.com/definitions/trโฆ
Breadth is improving. 73% of S&P 500 stocks are now trading above their 200 day moving average which is improving pariticpation in the uptrend. Said another way - there are fewer lagging stocks now. Well see if it contnues.
Retweeted by Mike Shell ๐บ๐ธ The more adaptive 50 day was already showing good participation with about 73% of $SPY stocks participating in the uptrend.
Breadth is improving. 73% of S&P 500 stocks are now trading above their 200 day moving average which is improving pariticpation in the uptrend. Said another way - there are fewer lagging stocks now. Well see if it contnues.
A fairly broad advance today, Energy, Industrials, and Utilities lagged, the rest gained.
So, trend following traders would have to use the EMA, which is more adaptive, but WOW! the distance from the current price to even the 20-day exponential moving average shows the extreme of the volatility expansion.
Trend following using a moving average as an exit for risk management requires enough historical price data to get the indcator moving.
For $TLRY there isn't enough history to get it going for a SMA :)
"What has been will be again, what has been done will be done again; there is nothing new under the sun.โ
The enthusiasm for pot stock crypto/bitcoin reminds me of the 90's. Most of the highest stocks aren't around today to easily show their charts, but here's one I remember:
"What has been will be again, what has been done will be done again; there is nothing new under the sun.โ
The enthusiasm for pot stock crypto/bitcoin reminds me of the 90's. Most of the highest stocks aren't around today so easily show their charts, but here's one I remember:
The radical volatility expansion shows the tremendous risk in pot/marijuana/cannabis stocks. Apparently, the demand is coming from a positive DEA announcement and limited shares available, but the risk is a supply of shares available later: vox.com/business-and-fโฆ
There seems to be a euphoria about the legalization of recreational pot/marijuana/cannabis in Canada... Cannabis company Tilray $TLRY stock has got high like the .com stocks in the late 90's.
$TLRY radical intraday volatility expansion. Tilray is a Canadian cannabis/marijuana company. Tilray stock gained -50%, then declined -50%, then gained -43% from the low...
Tilray $TLRY, the Canadian cannabis/marijuana company stock had an interesting day yesterday...
Rising interest rates drives demand for Financials $XLF and selling pressure for Utilities $XLU โ
ASYMMETRYยฎ Observations of #behavioralfinance #globalmacro #volatility #riskmanagement #RoboAdvisor+ #momentum #ETFs #trendfollowing #tactical #trading that creates an asymmetric risk/reward profile with a positive asymmetry between profit and loss.
asymmetryobservations.com
Retweeted by Mike Shell ๐บ๐ธ Social media can be an echo chamber, where views we read just reinforce we we alreay believe.
Or, we can use it to discover alternative views and broaden our horizons.
It's interesting to see what investment strategies people have done in the past that created good results, but it may also be useful to consider the current conditions and imagine what may do well in the future.
#TuesdayThoughts
ASYMMETRYยฎ Observations of #behavioralfinance #globalmacro #volatility #riskmanagement #RoboAdvisor+ #momentum #ETFs #trendfollowing #tactical #trading that creates an asymmetric risk/reward profile with a positive asymmetry between profit and loss.
asymmetryobservations.com
Retweeted by Mike Shell ๐บ๐ธ Stock market weakness today came from Technology, Consumer Discretionary, and Communication sectors.
Very cool simulation to understand the potential flood and flow of a hurricane like #FlorenceHurricane2018
Retweeted by Mike Shell ๐บ๐ธ Who do you think will win today? #PHIvsTB
Tampa Bay Buccanneers #GoBucs
or
Philadelphia Eagles #FlyEaglesFly
What direction do you believe the stock market will trend over the next six months?
Retweeted by Mike Shell ๐บ๐ธ Very cool simulation to understand the potential flood and flow of a hurricane like #FlorenceHurricane2018
Retweeted by Mike Shell ๐บ๐ธ The most important thing I do to cut losses short is predefining the exit in advance before I enter a position.
People seem to love the @weatherchannel flood simulator! @LianaBrackett @DrRickKnabb @mikebettes @JimCantore @StephanieAbrams
Very cool simulation to understand the potential flood and flow of a hurricane like #FlorenceHurricane2018
Retweeted by Mike Shell ๐บ๐ธ People are being asked their opinion of what may cause the next financial crisis and stock market crash who didn't themselves execute well through the last one. ๐ง SMHJ
Very cool simulation to understand the potential flood and flow of a hurricane like #FlorenceHurricane2018
One driver of the downtrend is gold $GLD and emerging markets $EEM is the rising U.S. Dollar $USD, but the Dollar has reached a point I wouldn't be surprised to see it trend down and emerging markets and gold trend up...
Retweeted by Mike Shell ๐บ๐ธ I call this #momentum high and low. Sorting out the leaders from the laggards by relative strength. Only time will tell if the trends continue or reverse. #trendfollowing #sectorrotation
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