multiAssetMacro

[multiAssetMacro @multiAssetMacro]

@jturek18 yep. MPC neutrals were explicit about this being a condition for them hiking at the latest meeting

[multiAssetMacro @multiAssetMacro]

@GRoditiD blitz/rapid chess

[multiAssetMacro @multiAssetMacro]

@IyerC @jturek18 it looks the same on a chart, it does not look the same on a regression

[multiAssetMacro @multiAssetMacro]

@MG_Macro certainly food for thought, thanks

[multiAssetMacro @multiAssetMacro]

@MG_Macro i suppose i’m more agnostic on whether energy price momentum can be sustained for that long a period

[multiAssetMacro @multiAssetMacro]

@MG_Macro how much of that residual is just the recent rise in energy prices?

[multiAssetMacro @multiAssetMacro]

@quant_arb @ScottPh77711570 @macrocephalopod i’m unsure if not making any money of your own coin is a good or a bad thing tbh

[qm @quantymacro]

What I Missed When Reading Quantitative Portfolio Management The First Time (Taylor's Version)
+ some python code

the article is on the longer side. as usual giving access to some who RT

[multiAssetMacro @multiAssetMacro]

@prometheusmacro am i misreading this chart or do you have inflation being ‘high’ at the back end of ‘08 and early ‘09?

[multiAssetMacro @multiAssetMacro]

@EconomPic any chance you have this by rating?

[multiAssetMacro @multiAssetMacro]

@macrocephalopod @PodQuant they ran another behavioural experiment back in 2016 on sizing with a (known) biased coin: https://t.co/xoK0tryulV

https://t.co/ab7IyRwjW1

[multiAssetMacro @multiAssetMacro]

@BobEUnlimited @George_Saghir and btw, if macro trading was only about interpreting (public) eco data and making linkages, economists would be richer than they are

[multiAssetMacro @multiAssetMacro]

@BobEUnlimited @George_Saghir - labour market data has disappointed relative to consensus
- Fed has said they only care about this at this juncture
- you’re assuming 2s in mid-july were ‘fair’ to begin with

its a stark move but this thinking is why (macro/price) trend strats still exist

[multiAssetMacro @multiAssetMacro]

@BobEUnlimited @George_Saghir if you think the eco outlook has changed much in the last 2m, you’re being too slow to update your beliefs

[multiAssetMacro @multiAssetMacro]

@EntropyChase if you’re minimising SSE and your variables are uncorrelated (i.e. beta = 0), then r_pred = mean. in this context, SSE cannot be greater than TSS and hence 0 <= r^2 <= 1

[multiAssetMacro @multiAssetMacro]

@EntropyChase yes can be negative if you’re running a constrained regression (eg fixing the intercept) but for any unconstrained regression r^2 will always be >=0

[multiAssetMacro @multiAssetMacro]

@EntropyChase r^2 is correlation squared and bounded between 0 and 1

[multiAssetMacro @multiAssetMacro]

@therobotjames this should cover most of it

https://t.co/e8Bc1RDA8J