iBankCoin
18 years in Wall Street, left after finding out it was all horseshit. Founder/ Master and Commander: iBankCoin, finance news and commentary from the future.
Joined Nov 10, 2007
23,428 Blog Posts

Made Some Errors, Exodus Quant Crushes Again

This whole trading gambit is for idiots. I am serious. My quant portfolio has a Sharpe over 2 and has crushed the SPY in over 75% over the time this year. For the week, it moved higher by 0.41%, about 7bps better than the SPY. Although higher today very nicely, stocks didn’t bode too well for the week and most high beta names dropped in value.

I made my adjustments for the week and carry on without a care in the world.

On the other hand, and I am pointing this out as a perfect example, my discretionary portfolio is filled with murderholes. Just yesterday, I was sucking the knee caps off of FIZZ; today’s it’s scrambling lower. Let’s not even mention my UVXY position. The more I think about it, the more comfortable in never trading like this again, instead favoring quantitative strategies that can be analyzed and tweaked, without flawed human intuition.

For those who purchased my story today, via Amazon, just know that I just made revisions to it after finding some errors. Ten thousand apologies for that. It should be almost flawless now.

Today is Jean Sebelius birthday, a national holiday in Finland.

Enjoy.

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17 comments

  1. husaria

    Why not mention $UVXY? Oh, I see. Making all time low today, yes?

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    • Dr. Fly

      I literally mentioned UVXY you gigantic faggot. Learn how to read.

      UVXY wasn’t my fault. ABC News made me do it.

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      • cancel19

        That’s proof that “fake news” is indeud harmful.

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      • husaria

        You say “let’s not mention…” then you mention. Guess you snow flake. Then you call names, like faggot. You always call people this and other related names. You seem to have fixation. You molested as child? Or you molested as child and liked it. That must be it, yes? You also said “suck the knees…”. What else you suck? Oh, nevermind. TMI as they say.

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        • Dr. Fly

          Hmm, if I was molested as a child, what sort of person does that make you talking to me like that now?

          I am not surprised. You’re a reprobate.

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          • husaria

            What kind of person,me? I only ask questions. You are one rambling on. Did I got nerve?

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        • moosh

          Squash it. Moot.

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      • numbersgame

        Fly,the issue is that husaria is an ESL student. Most people would understand that saying “Let’s not mention…” is a way of admitting that you were wrong, but this guy totally missed that.

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  2. dmfracer

    I keep hammering away at this idea in Exodus – these long VIX related leveraged ETFs like $UVXY and $TVIX are losers – I should know since I lost tens of thousands on $TVIX in 2015. If you want to play the lotto and/or hedge – and who doesn’t? – just buy some $SPY puts. Short expiration in or out of the money – makes it easy to sleep at night. Even better is a short expiration SPY (like 10-14 days out) put against a longer (2 month) call. In a bull market this is a winning strategy, and last time I checked the market isn’t crashing, so….

    If you aren’t comfortable with SPY puts and want to bet against the market $SPXU is much better than anything VIX related.

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    • tonka

      Unless the VIX curve is inverted. In 2011 $TVIX went up ~900%. Kept going up even after VIX topped out.

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      • tonka

        I remember cuz I was short. Barely made it out alive.

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        • dmfracer

          Yeah, the Taper Tantrum and fears of a double dip recession lit VIX on fire back then. It will be a great place to be during the next big one.

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  3. dragun

    The challenge with levered ETFs are the daily resets as well as term structure if the product.

    You can make money with these so long as you keep them i a short leash cutting losses and taking gains within predetermined bands. For example I cut the levered oil bull after it hit the limit, even though oil is higher you di tt look back and wish

    Buy and hold these instruments and suffer the consequences.

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    • moosh

      Bingo. I still hold like some decimal point bitcoin envy amount of faz. To keep me honest.

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  4. moosh

    Anyone have a clue where rotation is going into next year? Retail has impressed me

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