EnergyTrader

[Danny Dayan @DannyDayan5]

When bonds selloff, panic ensues on this site. You would think the entire market is short bonds based on it.

Reality: speculators are not adding to shorts, and asset managers have been buying like lunatics.

NOBODY is prepared for 10y to move to nominal GDP levels.

[EnergyTrader @trad62866]

@quant_arb Thank you!

[EnergyTrader @trad62866]

@Aymanhamzi8 Can you please share? Thank you so much

[EnergyTrader @trad62866]

@quantian1 Not Medallion, right?

[EnergyTrader @trad62866]

@PtrPomorski Any other methods besides jump models that you can recommend?

[cephalopodshop @macrocephalopod]

“You have to add a correlation estimate” — yes, and your correlations come from your factor model. If you have a good model which has captured all relevant factors, and you have hedged the ones that you don’t want exposure to, then the volatility of your portfolio will be driven only by idiosyncratic volatility. The only other way to blow up your portfolio volatility is via unhedged, missing, or badly estimated factors. For example, an increase in volatility of the market factor relative to idiosyncratic volatility will increase average pairwise correlation, which will lead to higher volatility of your portfolio if you haven’t hedged this factor, or if you have hedged it badly. But if it’s hedged correctly then the change in correlations washes out (the increase in correlation between your longs drives an increase in volume of your long portfolio, and similar an increase in vol of your short portfolio, but it is matched by an increase in correlation between your longs and shorts, which now hedge each other better, and the net effect on overall portfolio volatility is zero).

[EnergyTrader @trad62866]

@DSAkdag Bunlardan iv surface alım yönlü değişim göstermiş (örneğin call skew) onlara da bakmak ekstra bir alpha üretebilir gibi

[EnergyTrader @trad62866]

@ReformedTrader 1.68 SR for Trend? I don’t know man

[EnergyTrader @trad62866]

@BoraOzkent Yüzde getiri değil dolar PnL baksak nasıl olur acaba

[EnergyTrader @trad62866]

@SowingAlphaSeed Combining with a dynamically rebalanced leveraged ETF position is the easiest use case I believe. You can also try it as part of a timing sleeve, if you believe in that

[Farmer @SowingAlphaSeed]

During moments of panic, investors first and foremost sell what's liquid. But I suspect there's also a bias toward selling recent winners. I'm guessing that explains some of the price moves today.

[EnergyTrader @trad62866]

@efegurtunca @doruukkurt Aralarında arbitrary olmaması gereken iki piyasadan bir daha az likid olursa, bunun olmaması garip olur. Likid olmayanı kendi işlemlerimle ittir. Zarar et, likid olanında 10 kat kar yaz

[EnergyTrader @trad62866]

@efegurtunca @doruukkurt Orada opsiyondan kar ediyorlardı ama. Spot hareketinden değil

[Gregory Blotnick @gregoryblotnick]

quick example on “opportunity cost of capital” in port construction

here’s a random ass chart. stock is rangebound between $4.50 and $6.00 (ignore that Oct $6.50 spike top for now).

I’m bullish fundamentally, but don’t want my $$ tied up in a rangebound stock….dead money…I have 50 other ideas ready and if they MOVE, I want to deploy into the ones catching momentum ignition

So in this case…I’d set an upside alert at the local high ($6.00) and look to enter a clean breakout that closes strong on high volume

I don’t care about the breakout close exactly as much as, I want to see institutional volume pouring into the stock and taking out prior range highs…that’s the signal to me that fundamentals MAY be inflecting.

Nothing is perfect in mkts, ever. The next day it could crash back below the top of the range.

But the theory I’m laying out, is that I will gladly pay an extra 5-10% for stock (say $6.25) if it has the “mo” accelerating and volume ramping higher, vs paying $5.75 for rangebound, vs paying $5.25 for downtrend. That’s counterintuitive at first - paying up - but it’s not blind mo chasing.

I am assuming this upward “mo” is representative of fundamentals accelerating. Something changed and somebody knows something, not “monkey mo.” Sometimes it’s real, sometimes it isn’t. We’ll see. Again, nothing is perfect, and I’ll have a stop placed to take me out on a failed breakout.

But paying $6.00 vs $6.25 for stock, remember, I’m fundamentally bullish, I’ve done months of work and I think it’s going to $12.50. The fundamentals say WHICH stock, charts say “the time is NOW.”

If the trade is IN MOTION, paying the extra $0.25 compresses the horizon of the trade + boosts IRR….faster it plays out the better, take the trade, redeploy. Dead money shrinks IRR and slows turnover.

Waiting for the mo is just a matter of…I have $100 in capital. I want every dollar deployed in stocks that are MOVING, you want your $$ working for you and not stuck in some turd with a 6-month base.

Your thesis is meaningless until the mkt starts to agree with it. When that fundamental inflection happens, the first place you’ll see it is on a sharp move higher, volume picking up, range highs getting taken out on the chart.

That’s where charts are handy. I want to see ppl paying prices for stock that they haven’t been willing to before. A move that clears $6 and then takes out that $6.50 in short order, and you think it’s worth $12, like, you lean into that move heavily, I’m buying all the way up as mkt confirms my thesis (ideally w concrete data along the way)….that’s the alignment of fundamentals + technicals + mkt pragmatism.

Hope this was clear - for a start, I always have a billion alarms set at range highs and lows - here I’d have a downside $4.50 alarm even if I have no plans to transact, it’s just info I might miss otherwise. But maybe the facts changed, it’s a short at $4.50 and it’s worth $3, I gotta stay flexible to all outcomes.

In a perfect world you have 50 great ideas, alarms set at all key levels (highs and lows) and game plan for when those triggers go off. Then you just sit on $, wait for the market to come to you, and lay out $ as your FUNDAMENTAL + TECHNICAL considerations align in tandem…fundamental view is there, charts say “time to ride kid, hop in.” The work was all done in advance - now u just execute on the game plan.

when they talk about how “xyz investor is wrong a lot but he is so good on the buy that he rarely loses $,” they’d have that factored in here…like a stop below the range low at $4.00, so you have a $6 stock, $12 target, $4 stop. Playing for 6 up 2 down or 3:1….if u can identify and swing at 10,000 of those, ur gonna be in real good shape. Their setups may not be as simple as a chart (think Soros and Bank of England as “bought it well”) but they find these mega skewed payoff profiles and they go whole hog, knowing they don’t lose much if wrong.

That’s the game…good luck
GB

[EnergyTrader @trad62866]

@SowingAlphaSeed Love what you are doing. Where do you source factor data?

[Ivan Blanco @iblanco_finance]

🧩 New Research Ideas! “Is US Equity Concentration Really Exceptional?”

If you believe today’s US equity market is uniquely concentrated because of the Magnificent 7, history may disagree. A recent paper by Bye, Kvaerner, and Werker (Jan 2026) situates this narrative within a much broader historical and international context.

Using nearly a century of data, the authors show that current concentration levels, with the top firms representing roughly one-third of market capitalization, are well within historical US norms and not unusual relative to other developed markets. Similar concentration peaks have occurred repeatedly during past innovation waves.

Importantly, valuation concentration closely tracks earnings concentration, suggesting that fundamentals, not just multiple expansion or passive flows, explain much of today’s mega-cap dominance. Even a standard model with idiosyncratic firm-level shocks and no “special” firms ex-ante naturally generates the observed concentration.

The implication for allocators is subtle but relevant: high concentration alone is not a sufficient reason to conclude that US equities are structurally fragile. Concentration appears to be a recurring feature of innovation-driven equity markets, not a unique anomaly of this cycle.

(Paper: “Magnificent, but Not Extraordinary: Market Concentration in the US and Beyond”, SSRN, Jan 2026)

[EnergyTrader @trad62866]

@financialfree42 Tr’deki en iyi yönetici bence. Yatırım tavsiyesi değil

[Dr. Ilia Bouchouev @IliaBouchouev]

I see many are dismissing the absurdity of gold/oil ratio - I don't, I view gold as a leg vs USD trade with weaker USD having a delayed impact on oil via costs, portfolio rebalancing and denominational effect. I fully expect nasty responses to this tweet but that's my view.