Make Task Investing Easy

Investment in stocks in such a volatile market nowadays has become a cause of concern and how to manage one’s finances. Most of the people ask their fund managers to invest in quality stocks at this point in time. Which is the best asset class to invest in and how to manage your portfolio? Some people think that investment is the most straightforward aspect of financial planning, whereas nobody knows the correct answer and is debatable. But now, with the advancement of technology, things have become quite more comfortable and if we look at the broader pictures with investing tools like Build Alpha, it is far easier to invest and trade with the best expertise available with you at every point of time.

Investment in the capital markets can be comparatively easier than other asset classes or yield drivers. One should invest smartly and systematically keeping in view the returns on your investment, but most of the investors do it otherwise, and everything is turned around like not placing the upside-down cake correctly, thus the toppings at the bottom scatters. With a tool like Build Alpha now investing activity has become way easier as it gives proper analysis of the trend of the market.

Especially for the new age investors who have just entered the market, they can quickly get the knowledge in the simplified version through this unique tool. It is very user friendly and an easy to access tool that serves just perfect for solving the queries and dilemmas of new as well the experienced traders and investors. Even if you are dealing in the market for long-term, there ought to be something or the other that may bother you or you may not understand as the market is quite volatile and it is quite difficult to depict the pattern well.

Here is where BuildAlpha comes into play by helping you out with that uncertain motions of the market where you fear to take your next steps. As with unpredicted levels and economic uncertainty of course comes a lot of risks. Build Alpha can help you identify these risks to hopefully sidestep them before they affect your portfolio.

Very well written by Warren Buffet, there are lots of ups and downs in the stock market, and one should be patient. That is why he termed the capital market where investing is a no-called-strike game. So now, with this unique and very useful tool, it has become much simpler to invest in the capital markets and earn money, and the same time the fear of losing will be minimized as now you have experienced moves, tested them and are ready for the next one. Therefore, do the research of the markets with the help of Build Alpha before you are interested in investing and before new risks hit the market.

Originally Posted: http://buildalpha.us/make-task-investing-easy/

Volatility Filters Into Stock Market Decline

The recent volatility, like all volatility events, has brought some traders a fortune and others pain.

The ability to identify volatility regimes is paramount!

Correct identification of volatility shifts gives one the ability to adjust size, turn strategies off, enable hedging strategies, etc.

Ideally, a trader should have strategies for every market regime. If one can identify which regime and price action characteristics are likely (or unlikely) then plenty of stress can be removed and a certain level of robustness is added to the trader’s portfolio.

In this post, I want to discuss four ‘volatility identifiers’ that can hopefully be used to either avoid or capitalize on the next volatility event.

These have been powerful indicators to add to trading systems to help decide when on/off, filtering and of course sizing.

Are they a be all end all? No.

Are they predictive? No.

Are they a holy grail? No.

Should you ignore them? No!

I will only examine these volatility regimes based upon tomorrow’s range and tomorrow’s return. 

They can of course be expanded to look at 5 days forward, 20 days forward, etc. but this is left up to the reader.

Plotted below is how these volatility identifiers affect the S&P 500’s next day range and return. The X-axis is the volatility identifier and the Y Axis is the S&P 500 range (or return) for the next day.

BuildAlpha: In short, the level of these volatility identifiers has a BIG impact on what you can expect for tomorrow’s session and thus your trading systems can/should take a look to see if these can help improve performance or even alert to when some strategies should be ‘offline’!

1) Treasury Spreads vs. S&P 500 Futures. When the 10-year yield minus the 2-year yield is too flat or too steep things tend to get volatile.  The x-axis is the basis points of this spread. This is the only goldilocks identifier in this post where volatility increases at both extremes of this indicator but mellows out in the middle of the range.

2) Whenever the front month VIX futures contract is trading above the second nearest month by more than 5-10% things tend to get volatile. Here is the VIX futures curve in March of 2019 vs. March 2020 as well as the contango percent.

3) Whenever SPX index’s option gamma exposure (GEX) is negative things tend to be more volatile. Gamma exposure is the total sum of gamma (option greek) multiplied by open interest of the calls minus the sum of gamma multiplied by the open interest of the puts. This gives us a sense of where/how option market makers are positioned. When GEX is negative things tend to get volatile.

4) Whenever the S&P 500 components’ gamma exposure is negative things tend to be more volatile as well. Obviously very correlated to #3 but important to note the distinction. This is like above but is the aggregate of the actual options on the ~500 stocks in the index vs. the options on the index itself.

There are other volatility identifiers such as Dark Pool Index (DIX), counting the number of S&P 500 stocks above/below the 50 day moving average, number of new highs vs. new lows, economic data filters, etc.

Also, to be fair, Gamma Exposure and Dark Pool Index were first published here: https://squeezemetrics.com/download/white_paper.pdf and pointed out to me by a bunch of Build Alpha users. I want to give credit to where it is due.

In the latest Build Alpha update all of these volatility identifiers, economic data and market breadth filters will be included and testable at the click of a button. Even possible to automate them as part of your strategies built and/or improved by Build Alpha.

I am looking forward to a post COVID world and what the market will bring us on the other side. Be prepared! Any questions please contact me at david@buildalpha.com

Originally Posted: https://www.seeitmarket.com/a-look-at-volatility-filters-into-recent-stock-market-decline/

Build Alpha Update

Build Alpha: In the latest update it is now easier than ever to modify the built-in signals, optimize parameters across noise adjusted data series and other symbols, create rebalance strategies, search for intraday edges and new signals including Gamma Exposure, Dark Pool Index and more.