Pek
Forumer storico
Quindi partendo dalle ipotesi:
a)Il generatore di segnali non funziona sull' S&P
b)Il Vix è anticorrelato all' S&P
uso il vix per andare short di DAX
S.t.a.r.c.a Model
- Creatore Discussione Sig. Ernesto
- Data di Inizio
Quindi partendo dalle ipotesi:
a)Il generatore di segnali non funziona sull' S&P
b)Il Vix è anticorrelato all' S&P
uso il vix per andare short di DAX
Quindi partendo dalle ipotesi:
a)Il generatore di segnali non funziona sull' S&P
b)Il Vix è anticorrelato all' S&P
uso il vix per andare short di DAX
Allego il modello applicato allo stesso S&P500. Non c'è l'obbligazionario in modo da valutare meglio la bontà dei segnali. Pare funzionare anche se non così bene come con il Dax30. I parametri sono i soliti (alpha=0.81, soglia=0.1).
Quello che ho capito io fino ad ora: il modello TAR cerca di discriminare se il leader si trova in regime di trend ascendente o discentente. Sulla base di questo test emette il segnale. Su questi time frame ampi, che abbiamo visto fino ad ora, il sistema riesce effettivamente ad individuare il trend e i segnali parrebbero consistenti nel tempo. Sul Dax30 il modello pare funzionare così bene perchè l'indice è positivamente correlato (a lag 0) all'S&P ed è inoltre più volatile dell'S&P stesso! Il Dax30 credo sia uno degli indici più correlati in assoluto a S&P, anche più dell' FTSE100, avete delle misure in merito?
Avete provato ad applicare il modello su tf giornalieri?
Dove il modello soffre è durante le fasi laterali del leader, si potrebbe ovviare inserendo un ulteriore valore di soglia? In questo modo si potrebbero individuare tre regimi (bull, bear, lat.)?
Che ne pensate?
Allegati
Sig. Ernesto
Vivace Impertinenza
Quindi partendo dalle ipotesi:
a)Il generatore di segnali non funziona sull' S&P
b)Il Vix è anticorrelato all' S&P
uso il vix per andare short di DAX
Peky, i love u but...
all the world is correlated....all we need is love..all we need is...S.t.a.r.c.a
[ame=http://www.youtube.com/watch?v=r4p8qxGbpOk]The Beatles - All You Need is Love (HQ) - YouTube[/ame]
Allegati
Peky, i love u but...
all the world is correlated....all we need is love..all we need is...S.t.a.r.c.a
The Beatles - All You Need is Love (HQ) - YouTube
Mi era sfuggito questo grafico, ok le correlazioni tornano..
Sig. Ernesto
Vivace Impertinenza
Se volete le possiamo sofisticare ma, una vecchia cara matrice vecchio stampo è in questo caso robusta.
Poi, se trovate il VDax anticorrelato dal Vix...fischiate che arrivo..qualche idea la ho..
Grafico aggiornato a ieri--
Poi, se trovate il VDax anticorrelato dal Vix...fischiate che arrivo..qualche idea la ho..
Grafico aggiornato a ieri--
Sig. Ernesto
Vivace Impertinenza
Assolutamente d'accordo Skew.
Ora, girellando di prima mattina tra i giornali, ho trovato un articoletto:
What’s driving the equity markets?
Economics and earnings is the easy answer. But when you look at the data, the evidence isn’t quite so clear.
For example, correlations are stronger between European equity markets and the S&P 500 than they are to the state of their own domestic economies. The correlation between the FTSE 100 and the S&P 500 has, during the past five years, been an astonishing 97%.
By contrast, the correlation between the FTSE and the U.K. manufacturing purchasing managers’ index has been just 66% over the same period. For Germany, those correlations are 94% with the S&P and 71% with the German PMI. In France, the relative numbers are 79% and 45%. And in Italy they have been 68% and 47%.
This might make sense if you argue that European companies are trading in the same international markets as U.S. companies and that the same global trends are pushing equities.
Although the International Monetary Fund has been slightly more optimistic about global growth lately, the rate this year and next is seen at below where it was in the boom years of the mid-2000s, even though global equity indexes are not far off where they were then, at least in nominal terms.
So yes, global factors are probably at play, but at the margins it’s likely to be a zero-sum game for firms rather than a boon to all–European and U.S. firms will be competing against each other.
Although this argument has some merit–large U.S.-listed firms are relatively more exposed to the global economy than the wider U.S. economy, while German companies are big exporters to Asia–it’s easy to overplay. Most European trade takes place within the union. At the same time, China’s slowdown is proving a worry if the recent performance of its market proxy, Australia, is anything to go by.
A second possible reason for European equities to follow the U.S.’s example is if investors think U.S. profit margins will somehow set a global standard. U.S. corporate profitability is the highest it has ever been. Some strategists think this situation will persist far into the future and investors seem to be factoring this possibility into share prices.
For various reasons, this anomalous situation is unlikely. Some of the U.S. corporate sector’s excess profitability comes from having shed too much labor during the downturn. As the Fed’s Ben Bernanke thinks, some of this labor is being rehired now, which is why the unemployment rate has been falling considerably faster than U.S. economic output hasbeen growing.
Some of the boom comes from very low real interest rates–despite unusual cash balances, companies tend to be large net borrowers–and plenty comes from the fact that the U.S. government has been running fiscal deficits of around 10% of GDP.
But as companies re-hire, as money stops being pumped into the economy by the Fed and as the government pulls its belt in, these factors will unwind. And, what’s more, competition will come back into the corporate world. Even Apple’s not immune.
Austerity is already starting to weigh on European companies through falling domestic consumption across much of this side of the Atlantic. Voter rebellion against austerity means governments will increasingly search for sources of revenue other than personal taxation. Governments already have the rich in their sights. They may well turn their attention to companies’ cash piles as well.
Even the U.S. may no longer be immune from these populist forces as it becomes clear how well the 1% have done out of the recovery, while most people struggle on. Redistributive pressures will be felt by the corporate sector as well.
If I had to guess, I’d say European shares have been disproportionately driven by U.S. investor sentiment, and U.S. investor sentiment has been fuelled by infusions of Fed money. Eventually, European investors are going to have to pay more attention to domestic factors.
Of course, maybe the PMI numbers are poor indicators of the economic outlook. Unfortunately, they seem to be the best around. So unless there’s a lot more to the correlations between European and U.S. shares, the latest batch of European PMIs don’t bode well for European markets.
U.S. Is More Important to Euro Shares Than Europe - The Source - WSJ
Mi son chiesto chi è sto giornalista così intraprendente da scrivere sul WSJ quello che scrivo oramai da anni su FoL prima e ora su IO
Alen Mattich (Canada/UK) was born in Zagreb, Croatia, and grew up in Libya, Italy, Canada and the USA. He went to McGill University for his undergraduate degree and did post-graduate work at the London School of Economics. A financial journalist and columnist, he’s now based in London and writes for Dow Jones and the Wall Street Journal. Mattich’s debut novel, Zagreb Cowboy, opens in the crumbling state of Yugoslavia in 1991, where in the midst of the chaos secret policeman Marko della Torre has been working both sides of the law.
Insomma, un 1\2 Zingaro come me (più colto e preparato.).
E quindi....arimusica..
[ame=http://www.youtube.com/watch?v=HGVpdqA0z9o]Cesare Cremonini - Dicono di me (video clip) - YouTube[/ame]
Ora, girellando di prima mattina tra i giornali, ho trovato un articoletto:
What’s driving the equity markets?
Economics and earnings is the easy answer. But when you look at the data, the evidence isn’t quite so clear.
For example, correlations are stronger between European equity markets and the S&P 500 than they are to the state of their own domestic economies. The correlation between the FTSE 100 and the S&P 500 has, during the past five years, been an astonishing 97%.
By contrast, the correlation between the FTSE and the U.K. manufacturing purchasing managers’ index has been just 66% over the same period. For Germany, those correlations are 94% with the S&P and 71% with the German PMI. In France, the relative numbers are 79% and 45%. And in Italy they have been 68% and 47%.
This might make sense if you argue that European companies are trading in the same international markets as U.S. companies and that the same global trends are pushing equities.
Although the International Monetary Fund has been slightly more optimistic about global growth lately, the rate this year and next is seen at below where it was in the boom years of the mid-2000s, even though global equity indexes are not far off where they were then, at least in nominal terms.
So yes, global factors are probably at play, but at the margins it’s likely to be a zero-sum game for firms rather than a boon to all–European and U.S. firms will be competing against each other.
Although this argument has some merit–large U.S.-listed firms are relatively more exposed to the global economy than the wider U.S. economy, while German companies are big exporters to Asia–it’s easy to overplay. Most European trade takes place within the union. At the same time, China’s slowdown is proving a worry if the recent performance of its market proxy, Australia, is anything to go by.
A second possible reason for European equities to follow the U.S.’s example is if investors think U.S. profit margins will somehow set a global standard. U.S. corporate profitability is the highest it has ever been. Some strategists think this situation will persist far into the future and investors seem to be factoring this possibility into share prices.
For various reasons, this anomalous situation is unlikely. Some of the U.S. corporate sector’s excess profitability comes from having shed too much labor during the downturn. As the Fed’s Ben Bernanke thinks, some of this labor is being rehired now, which is why the unemployment rate has been falling considerably faster than U.S. economic output hasbeen growing.
Some of the boom comes from very low real interest rates–despite unusual cash balances, companies tend to be large net borrowers–and plenty comes from the fact that the U.S. government has been running fiscal deficits of around 10% of GDP.
But as companies re-hire, as money stops being pumped into the economy by the Fed and as the government pulls its belt in, these factors will unwind. And, what’s more, competition will come back into the corporate world. Even Apple’s not immune.
Austerity is already starting to weigh on European companies through falling domestic consumption across much of this side of the Atlantic. Voter rebellion against austerity means governments will increasingly search for sources of revenue other than personal taxation. Governments already have the rich in their sights. They may well turn their attention to companies’ cash piles as well.
Even the U.S. may no longer be immune from these populist forces as it becomes clear how well the 1% have done out of the recovery, while most people struggle on. Redistributive pressures will be felt by the corporate sector as well.
If I had to guess, I’d say European shares have been disproportionately driven by U.S. investor sentiment, and U.S. investor sentiment has been fuelled by infusions of Fed money. Eventually, European investors are going to have to pay more attention to domestic factors.
Of course, maybe the PMI numbers are poor indicators of the economic outlook. Unfortunately, they seem to be the best around. So unless there’s a lot more to the correlations between European and U.S. shares, the latest batch of European PMIs don’t bode well for European markets.
U.S. Is More Important to Euro Shares Than Europe - The Source - WSJ
Mi son chiesto chi è sto giornalista così intraprendente da scrivere sul WSJ quello che scrivo oramai da anni su FoL prima e ora su IO
Alen Mattich (Canada/UK) was born in Zagreb, Croatia, and grew up in Libya, Italy, Canada and the USA. He went to McGill University for his undergraduate degree and did post-graduate work at the London School of Economics. A financial journalist and columnist, he’s now based in London and writes for Dow Jones and the Wall Street Journal. Mattich’s debut novel, Zagreb Cowboy, opens in the crumbling state of Yugoslavia in 1991, where in the midst of the chaos secret policeman Marko della Torre has been working both sides of the law.
Insomma, un 1\2 Zingaro come me (più colto e preparato.).
E quindi....arimusica..
[ame=http://www.youtube.com/watch?v=HGVpdqA0z9o]Cesare Cremonini - Dicono di me (video clip) - YouTube[/ame]
federico64
Forumer attivo
Ma non si potrebbe semplicemente andare SOLO LONG sul Dax, come suggeriva Maurice in un suo famoso K.I.S.S. di qualche annetto fa?
Mi pare che lui sconsigliasse lo SHORT, o per lo meno consigliasse di guardarlo con molti sospetti.
Mi pare che lui sconsigliasse lo SHORT, o per lo meno consigliasse di guardarlo con molti sospetti.
Ultima modifica:
Sig. Ernesto
Vivace Impertinenza
E chi lo proibisce???
Lo SHORT è assolutamente complesso. Se osservi bene, ribadendo che è assolutamente lecito andare solo long..(ma ti esponi al default in determinate condizioni) il sistema va short mediamente con meno soldi di quanto faccia long ed azzerando quasi la posizione in caso di turbolenze permanenti (chiamiamole così). Una piccola difesa.
Ribadisco..nessuno vieta di andare solo long avendo cura (consiglio personale) a non far coincidere geograficametne gli assets (esempio...long sul FTSEMIB e riverso sui BTP invece di (anche) shortare....)
[ame=http://www.youtube.com/watch?v=d5XJ2GiR6Bo]Orchestral Manoeuvres In The Dark - Enola Gay - YouTube[/ame]