Downsizing the SOTM
Quick note…
I’m streamlining things at the blog a bit. The most noticeable change will be that the State of the Market report (and the Addendum) will go away.
I love the concept of the SOTM as a way to keep daily tabs on some of the simple free strategies we’ve talked about on the blog (and it’s by far our most visited link).
The problem with the SOTM is two-fold:
First, as some of the observations on the SOTM change (example), the report needs revision and tweaking. That would be a-ok if we were actually trading based on the SOTM, but because we’re not, that’s time I don’t want to squeeze out of this turnip (wasting a good life blogging and all that jazz).
And second, my trading profits have been shifting away from straight long/short trading and towards other things like volatility products, and those concepts are difficult to capture on the current SOTM.
Eventually I’ll replace the SOTM with something (hopefully) bigger and better.
Happy Trading,
ms
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Filed under: Random Stuff | 11 Comments
Hello Michael,
Since you mentioned your long/short trading, do you think that the edge of YK strategy is slowly fading away?
I have the same question regarding YK. How has it been performing lately? Thanks.
Hello blink: not at all – YK makes heavy use of short-term MR/momentum. At this moment in history, neither short-term MR or momentum is strong, however looking at the entire market’s history, periods like this have been the exception, not the norm (more: http://marketsci.wordpress.com/2010/12/13/roundup-ramblings-on-the-state-of-short-term-mean-reversion/).
I think (but of course do not “know”) that either short-term MR or momentum will return and that YK will adjust and capitalize. In the meantime, the flat returns YK has suffered are a small price to pay for the big returns the program has put up in aggregate. michael
Would you be willing to disclose the intermediate term prop indicators that you had in this report? In case they are less important to you now for some reason.
Hello MG – unfortunately no, but they’re not all that super-magical as this post shows: http://marketsci.wordpress.com/2010/08/03/indicators-as-concepts/
michael
While you’re at it you could update you audited results.
Cheers!
RE to Anon: results are updated on strategy page and website through 02/2011 (updated monthly). michael
Yeah, I was talking about the front page…
RE to anon: yep, that one needs to be updated. That’s a static image and I need to have someone redo it (b/c my old school mind isn’t equipped to handle the intricacies of web design as evidenced by my black-and-white sites =)
michael
It’s really a shame that SOTM will be going away as I come here on a daily basis to get an idea of the pulse of the market. For short-term traders it is very useful. From a web-site traffic perspective, I wonder how the site will do afterwards? Anyway, appreciate what you guys are doing, but it’s sad you will be axing one of the most useful features.
Hello Rick – be on the lookout for something in the future that hopefully better mirrors all the things we’re talking about today. It’s not that I think that the SOTM is useful, just that it’s pretty one dimensional (relative to everything we’ve been talking about). michael