Macroeconomic forecast. Measuring of contraction risk in US economy.

Last posting 09/08/2019 In prior observation, I have pointed out worsening conditions that increased risk of recession such as Delinquency rate +2 points, Corporate profit +1 and Loan provision rate +1 point. The total score was 22 points and it corresponding to recession risk equal to 30%. Only one metric was marked as positive – …

Gap trading strategy: Backtest and key factors for successful implementation

Calculation link … https://drive.google.com/file/d/18ABFxd7zqzdyeoY1qHpr2xQPFU1bPSYQ/view?usp=sharing In this post, I will describe the main idea of quantitative trading and will demonstrate how it works using GAP trading model and appropriate timing tools. The modern trading algorithm based on a robust and sophisticated set of orders that reflect different execution styles and described in the post. In addition, …

VXX, VXXB inverse trading : strategy details and backtest

Trading stat actual on 14/04/2019 The main idea that stands behind of volatility selling is that risk usually always overestimated and the price of the insurance as result is overpriced as well. Another rule is that far standing event will be usually associated with more risk, then near standing one. This is fundamental reason why …