dest's overwrite journal

Discussion in 'Journals' started by destriero, Jun 10, 2021.

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  1. No Shampoo here, OK?

    Like this:
    HS.jpg
     
    #211     Jul 9, 2021
    KCalhoun likes this.
  2. ph1l

    ph1l

    The lower chart shows the daily dividend-adjusted close price (calendar days from 20210309 and interpolated when the market was closed) minus the fitted parabola
    Code:
    y = 67.000846862793  +  0.133354142308235 * x  +  0.000296262296615168 * x * x
    labeled dataminustrend and the three fitted cosine waves
    Code:
           1.60150742530823 * cos(twopi / 80.7636929812316 * x  +  0.632126867771149)
        +  1.32835626602173 * cos(twopi / 30.1399119361322 * x  +  4.50122880935669)
        +  0.997597217559814 * cos(twopi / 22.5603293330753 * x  +  5.36369609832764)
    
    labeled detrended. So, it's not a chart to be interpreted as a conventional head and shoulders.

    Since this model is fitting prices and prices change, it will likely degrade and need to be recalculated ideally at every bar.
     
    #212     Jul 9, 2021
  3. easymon1

    easymon1

    Synonyms of moniker · alias, · byname, · cognomen, · epithet, · handle, · nickname, · sobriquet · (also soubriquet), ...
     
    #213     Jul 10, 2021
  4. ph1l

    ph1l

    "detrend is your friend":)
     
    #214     Jul 10, 2021
    easymon1 likes this.
  5. I think the thesis is on the expected success of a newly released drug. The implicit bet is that demand for the drug will be greater than what is expected on the street, which will result in:
    1) analyst revisions moving higher as more information comes to light
    2) a potential beat & raise (beat revenue & raise guidance for the year)
    Which would result in post-earnings announcement drift (major driver of momentum), as future FCF estimates would need to revised higher, causing the stock price to look undervalued in DCF and multiples models. This would drive buying activity by funds that invest in value, biotech, and growth. Furthermore, if the stock price does appreciate rapidly, then it'll gain a larger share of market cap/industry, making it benefit from passive investors.
     
    #215     Jul 10, 2021
  6. what kind of filter do you use on price? kalman?
     
    #216     Jul 10, 2021
  7. easymon1

    easymon1

    #217     Jul 10, 2021
  8. ph1l

    ph1l

    This method results in a function that tries to create a least squares fit of raw prices. The only input to the function is time represented as the relative number of bars since the beginning of the fitted prices. That lets the function be extrapolated to any future time.

    The function has a parabola plus three cosine waves. The filtering to get detrended raw price data (dataminustrend in the second image of this post) is subtract the parabola value for a given time from the raw price.

    Here are a few posts describing this:
    https://www.elitetrader.com/et/thre...dict-market-moves.357176/page-36#post-5358066
    https://www.elitetrader.com/et/thre...-price-prediction-models.357511/#post-5359400
    https://www.elitetrader.com/et/threads/ta-like-catching-a-greased-pig.359026/#post-5393480
    https://www.elitetrader.com/et/threads/ta-like-catching-a-greased-pig.359026/page-2#post-5394477
    https://www.elitetrader.com/et/threads/whats-your-favorite-chart-pattern.359850/page-2#post-5413673
     
    #218     Jul 10, 2021
  9. KCalhoun

    KCalhoun

    NVO killer 90-day chart... if I were to trade it, (not a recommendation) I'd go long over 88 or short under 84.

    nvo10july.jpg
     
    #219     Jul 10, 2021
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  10. Overnight

    Overnight

    It is fascinating to me how we all see charts differently. Ken, looking at this chart, I would do the opposite of what you said, based on previous movement...

    Middle of June was a peak of ~85, then a couple weeks later hit a low of ~81.5. If we were to hit 84 I'd long, and short at 88, based on previous cycle. Of course, that is just pure chart TA. I don't trade single stocks, and I hate shorting, heh.
     
    #220     Jul 10, 2021
    KCalhoun likes this.
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