Sharpe Minds

Illuminating the road towards financial success and early retirement.
Econ, Finance, Algos

Ephesians 4:1-32
1 John 5:21

[Sharpe Minds @SharpeMinds]

🧵 Let's dive into the distribution of returns for a stock—specifically Close-to-Close (C2C), Open-to-Close (O2C), and High-to-Low (H2L), what these are and what they tell us

These metrics help us understand price movements, volatility, and risk, e.g the characteristics of how a stock trades

These distributions are then analyzed to produce further insights we call descriptive statistics.

I'll use simple simulated data for a made-up stock (like a random walk with a slight upward trend and wiggles) to show examples. Real stocks differ, but this teaches the basics.

[Sharpe Minds @SharpeMinds]

Building a mean reversion only strat in the equity markets will be a wasted endeavor.

This doesn’t answer your question, but because I already know better, I’m telling you that a mean reversion only strategy will yield 8% cagr with ~22% maxdd, highly optimized.

MR engine only will yield 3% cagr and maxdd >40%

[Sharpe Minds @SharpeMinds]

@avaliarslan07 @keyfipyIasimIar They behave like magnets, how quickly they move and set near the floor, compared to how they move and speed when in free fall or on top of other dice.

watch in .25x speed and looking closely you can see quick setting once on the floor. Doesn't look natural

[Sharpe Minds @SharpeMinds]

@RohOnChain These are the results I received running the system posted in this article.

I've researched Markov Chain and Hidden Markov before, but couldn't find alpha using it as a regime identifier, especially not compared to three other regime identification systems that have been proven

[Sharpe Minds @SharpeMinds]

@alojohhardcore Is SPCX going to be a buy on IPO still, or is there any preliminary information that could come out in advance that changes the picture?

[Sharpe Minds @SharpeMinds]

I ran studies on this. The data show unanimously that 'psychological numbers' are not useful.

And guess what the 'real' psychological number is that price reacts to more than any other number?

It's $1, which makes sense. Every other integer, whether $100, $250, $360, doesn't matter.

[Sharpe Minds @SharpeMinds]

Hi AJ,

Regarding extra capital and seeing the overvalued growth of RKLB, I have questions:

1. Is it unwise to put towards the shorting of RKLB before the SpaceX IPO?

2. Is RKLB still going to need to raise capital and dilute shares in the near future, or do the backlogs offset that?

[Sharpe Minds @SharpeMinds]

@steveshifl42960 @alojohhardcore Trump didn’t put his money where his mouth was on PLTR is the difference

[Sharpe Minds @SharpeMinds]

@alojohhardcore @GrowthInactive Your analysis on this is going to make us very confident.

Feels like a great short opportunity, but the data shows that Mondays usually carry forward Friday's momentum winners

[Sharpe Minds @SharpeMinds]

@alojohhardcore I'm sure the SpaceX IPO valuation has some way attributed a higher floor to RKLB, so on a peer to peer naive comparison, I'm guessing many see RKLBs mccap and think it to be undervalued.

[Sharpe Minds @SharpeMinds]

@alojohhardcore Based on the current share price of $99.77, a short seems considerable relative to the SPC

[Sharpe Minds @SharpeMinds]

@CaffeSatoshi @jimcramer Hope you sold it while you were in profit.

If not, you're underwater now.

[Sharpe Minds @SharpeMinds]

@alojohhardcore Definitely didn’t try to short, added into PLTR more today.

[Sharpe Minds @SharpeMinds]

@alojohhardcore @AhmedHegazy I don't know what this means, I'm sorry.

I was asking more from a hedging point of view for myself.

[Sharpe Minds @SharpeMinds]

@alojohhardcore @AhmedHegazy If AMD is front running with very high multiples, just on a trade aspect, a quick short has a higher probability of returns than going into today's print than a long, correct?

[Sharpe Minds @SharpeMinds]

@CaffeSatoshi Yes I know, but not in this case.

Just look at the numbers and tell me another reason for the short other than inverse Cramer. Traders/Investors shouldn't just copy trade / inverse trade.

If there is no other thesis, then don't short it.

[Sharpe Minds @SharpeMinds]

@alojohhardcore I know we're in Q2 now, so I should clarify near the end of Q2

[Sharpe Minds @SharpeMinds]

@alojohhardcore So I guess we don't really expect to see this stock fly until Q2?

Looking at the seasonalities, one could infer this conclusion.

[Sharpe Minds @SharpeMinds]

@TrumpDailyPosts Nice triple post. This account is no longer followable.

You should have just stuck with reposting POTUS' truth social posts in chronological order.

What a mess this account has become in the last month.

[Sharpe Minds @SharpeMinds]

@alojohhardcore Excellent, thanks AJ