Setups2 min read
The gap-down filter earned its keep
The single cheapest line in the screen is the one that throws out overnight gaps. Last week it excluded four names and every one of them kept going.
Archive
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9 posts, newest first. Page 1 of 2.
Market Notes2 min read
Vol is cheap and nobody is scared
Implied volatility is the one series in this business that reliably reverts. When it is cheap and the tape is calm, the structure of the trade should change before the thesis does.
Method4 min read
The dog and the leash
Why this site exists, and the one metaphor it keeps coming back to: price runs, value walks, and the distance between them is the only thing worth measuring.
Trade Reviews2 min read
The trade that worked for the wrong reason
Closed green, and the review grades it a loss. The thesis was reversion; what actually happened was a sector bid that had nothing to do with the setup.
Method4 min read
What mean reversion actually means
"It fell a lot, so it should bounce" is not mean reversion — it is hope with a chart attached. The real claim is about stationarity, and it is testable.
Three names two sigma below, one worth a look
The screen returned three candidates this morning. Two fail the anchor test on sight. Here is the reasoning on all three, including the ones I'm skipping.