VolQ 21 Rules
- Timing is everything
- Work harder than anyone else
- Return always wants its risk payment
- Manage the drawdowns and the returns will follow
- The harder I work the luckier I get
- Systematise your trading
- A busy person always finds time
- Be the dumbest person in the room so that you have something to learn
- Traders need to be flexible
- An investment is a trade gone wrong
- Don’t fall in love with a position
- Executing in only one asset class is blind trading
- Compound from a higher equity base
- What others think of you is none of your business
- Make peace with your past so it does not affect the present
- Time heals everything, give it time
- Don’t compare your life to others and don’t judge them
- It’s alright not to know all the answers, it will come to you when you least expect it
- You are in charge of your own happiness
- Smile - you don’t own all the problems in the world
- Stay Happy
Dictionary
- @WifeyAlpha=tradingDiary
- 👸=real wifey= @RealAlphaWifey
- volq=wifey= @VolatilityQ =🐷👸
- cq=chief quant=job=dog=systems
- fam=family
- 🐷=core positions=fam
- 🐟🦐🐙🦞🦑🦪🍣🦀=hedged
- 🦔🐷=hedged pig portfolio
- 🚬=over leveraged
- 🐰=risk on portfolio
- 🐒=beta=buy&hold
- 🦆=thematic investing
- 🌴=jungle=market
- 🐗=volq og=solo jungle warrior
- 👶🐷=piglet=just started pig
- wifey 3x=levered tactical trades
- 🛒=big loss=carted
- 🪦=Ironed out=margin call
- 🗜=buckle up=big move coming
- boomer index=dow
- spivvy=front month vix
- 🔮=🪄=market commentary
- 🖤🪄=real wifey
- intras = intraday
- green dress=ath pnl
- zeee puts = options book
- 🍩=idiot
- 🍔=cringe
- 🩸= market selling off
- 🧌=wifey troll
- marche=spx=market
- mega pints=good day
- 🥩=down spx=pnl up
- 🥦=up spx=pnl down
- 🐳=institutional
- 😵💫=normie= no clue
- 😵😵💫=unborn normie
- 👶😵💫=newborn normie
- cqqtaf=?
Research Thread #1
https://twitter.com/wifeyalpha/status/1482685625665007620?s=21-
Regimes & Correlations
1.2. Can Market Regimes Really be Timed with Historical Volatility? (2021)
1.3. Regime Switches in Interest Rates (1998)
“We show that the regimes in interest rates correspond reasonably well with business cycles, at least in the US.”
1.4. Oil and Fiscal Policy Regimes (2021)
“Our results emphasize that it is both possible and important to separate a procyclical regime from a countercyclical regime when analysing fiscal policy.”
1.5. Regime Changes and Financial Markets (2011) {behind paywall/8}
1.6. Managing Risks in a Risk-On/Risk-Off Environment (2012)
1.7. Market regime classification with signatures (2021)
1.8. Risk-On/Risk-Off: Financial Market Response to Investor Fear (2016)
1.9. Risk On-Risk Off: A Regime Switching Model for Active Portfolio Management (2019)
"Careful, not the regime. Long bonds is not the hedge, short bonds is. If long-only use cash, we know this is the best hedge for inflation and/or equity risk. GLD/GDX also."1.10. On the Global Impact of Risk-off Shocks and Policy-put Frameworks (2019)
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Risk On/Off Bull/Bear Markets
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The VIX
Research Thread #2
https://twitter.com/wifeyalpha/status/1485196071139696644?s=21Research Thread #3
https://twitter.com/wifeyalpha/status/1489222447949877251?s=21Research Thread #4
https://twitter.com/WifeyAlpha/status/1512894274563715072VolQ Mishmash Thread
https://twitter.com/wifeyalpha/status/1482455163965165573?s=21Bear Market Rally - Summary
BMR are secondary reactions in the opposite direction of the primary trend. The primary trend in bear markets is down. BMR tend to be short covering rallies and at times when aggressive downward moves become exhausted.
BMR are market bids over +5%
2008 GFC top BMRs 24%, 19%, 12%, 12% & 11%
Dot Com top BMRs 21%, 21%, 21%, 19% & 15%
These were not inflationary bear markets but they have the most similar structure from market participants perspective
Can last quarters & seem like regime change
Start: Technicals can overpower fundamentals in the short-term & cause brutal rallies. Exhaustion and overextension are prerequisites.
End: Market dullness quote tweet BMR can bid & retrace 50% of the original down move.
See chapter 6 of Schultz https://pbs.twimg.com/media/FV8PLcJVUAA3iAQ?format=jpg&name=large