Investigating the Market
Stock Savvy is a journal that tracks my attempts at finding statistical relationships in markets. It’s mostly about Python code, distributions, successful & failed signals, and prior trades.
My goal is to be a perpetual student of the market, so every two weeks I’ll be testing a new trading strategy or market signal and seeing if it can help predict future returns, volatility, and/or correlations. Hopefully we’ll find something new. Given the high pace, we’ll probably analyze a lot of different asset classes.
For each idea, I’ll share the full Python code so others can play around with these ideas and try to discover something I may have missed.
The main tests I use are simple and powerful: conditional distributions, predictive regressions (shown below), and reverse factor modeling.
I also hope to perform follow-up analyses that study the performance of ideas from the past and see if they behaved as expected.
My Philosophy
Market prices are smart and worth watching. The bond market predicted all ten U.S. recession since 1955, with only one false signal. Prices are far more efficient than they once were decades ago. In options, “cheap” implied volatility is usually cheap for a reason, not because the market is overly complacent. At the money implied volatility is a strong predictor of future realized volatility.
Markets definitely have predictive power. Through experiments, I hope to discover it and learn how to exploit it.
“If there’s a material change in price behavior… regardless of what the fundamentals are saying, it’s time to exit. The big players know/suspect something is wrong and are getting out.” - Mark Minervini
“I never use valuation to time the market… The catalyst is liquidity, and hopefully my technical analysis will pick it up.” - Stan Druckenmiller
“I use the fundamentals to have a directional bias, and I use the technicals to confirm that bias.” - Scott Ramsay
Recent Experiments
Checkout the full analysis & Python code of my most recent experiment! Also feel free to ask questions on the Stock Savvy Discord server.
Disclaimer
Stock Savvy content is not investment advice. It should never be considered as investing guidance or advice in any capacity whatsoever. It is solely intended to help readers discover intriguing theories about markets that they may or may not want to explore on their own.
These are my own opinions and do not represent the opinions of my employer in any capacity whatsoever.
The site and its content does not include, nor shall it be construed as including, advice, guidance or recommendations to take, or not to take, any actions or decisions in relation to any matter, including in relation to investments or the purchase or sale of any securities, shares or other assets of any kind.
You should not treat any opinions or views expressed on this site or its content as a recommendation to make any particular investment.
Should you take any such action or decision based on information from this site, you do so entirely at your own risk.
About Me
Obsessed with markets, music, & nature
U. of Maryland Alum - Master of Quant Finance, B.S. Engineering, Fire Protection
