Condition is Stabilized

After a terrible, no good, very bad January things started to stabilize in February. Hedges started to show negative correlation again. Stocks are still stuck in the mud and volatility is very high. Hopefully after the Fed starts the rate hikes people will start feeling bullish again.

None of this matters. I'm just along for the ride. I observe the movements of the algorithm but I don't change anything. Right now my emotions tell me I should buy a bunch of oil and wheat because commodities are skyrocketing. I'd probably end up as a bag holder once sentiment flips and people start selling off. Like a Vulcan I choose to suppress my emotions and rely upon logic to guide me.

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Up and Down

March was up and down. Stocks made a strong rally, but bonds got killed. Implied volatility dropped dramatically, but realized volatility remains high. Meh.

I've Gone Mad (and Created a Trading Algorithm)

It was around 2 in the morning, and I hadn't slept in days. I was feeding a baby a bottle with one hand while holding my phone in the other. My wife had just given birth to twins a few days earlier. I was looking at the state of my investments. The chart on my screen looked like this: When the startup I worked for was acquired in 2014 I had received a $200k windfall. Being clueless about investing, I spent an hour investigating options and then chose to put it all into a robo-advisor. Over the next few years I kept adding money as the shares from the acquisition vested. The results weren't bad : 10.6% annual returns . But I had underperformed the market and that didn't sit well with me. I want to get to the next rung on the wealth ladder . The lifestyle I desire requires wealth of around $10M net worth. I want a house on the water in Florida and a boat. Now don't get it twisted: this isn't something I need . It's certainly not going to make me happy . I know...

New Millennium, New Market

The turn of the millennium was one of the craziest times in the history of stock markets. Of course, everyone knows about the "dot-com" companies with P/E ratios in the stratosphere. Fewer people understand how the "Y2K bug" forced so much spending on tech that it drove up valuations towards the end of the 90s (and the Fed helped by pumping money). But almost nobody talks about how the market changed . The best example of that change is this chart showing the 1-day autocorrelation of the S&P 500: It's pretty easy to see the regime change there. After a half-century of positive autocorrelation, the market flipped to negative autocorrelation. Why did this change happen? Nobody knows, but it probably wasn't just one thing. I think it probably had something to do with shrinking trading costs, faster transmission of ideas, and increased reliance on automated trading systems. Regardless of why this change happened, I just want know how it affects trading st...

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