"NFV" goes out at ~1161.10. SPX goes out at 1167.72. Convergence is happening. Even 6 point difference is probably within the realm of model noise/error.
I think you made an error this morning. "NFV" is really ~1164.73898979238675910239847789781203984710293874
Under no circumstances is it correct to short here, imo. If you must short (and you are a masochist), wait to 2:55 CT, and then decide if you want to short. Then stay up all night and try to make a few handles into tomorrow while deciding whether to ride the short. Either way, flat is the right position into Friday's close, imo. There is really not much edge to shorting at this point anyway according to "NFV". "NFV" is pretty good at keeping pace with SPX (so far), and the new edge band appears to be around >20 points of divergence. As I write this, we are at about -13.
the way i understood it is that your system consists of two parts: 1) hard-coded formulas for FV and entry/exit rules 2) nitro's trading experience on top of 1) that may override/adjust 1) on the spot. part 1) can be automated and is generally should be profitable part 2) can't be automated (yet) but presumably is adding value to the system part 1)+2) can't be backtested objectively, but part 1) can be. my question: has part 1) had so much troubles before in backtests and during real trading. if yes, then when those tough times happen? 2003, 2009?
Those are really good comments. Now that I think I finally have a model that comes close to modeling SPX "FV", I am in the process of getting data to test 1). It is a lot harder than I thought it would be. The periods that you recommend are also interesting since they have similar "fundamentals" in the form of low IRs following debacles. Presumably, these regimes are the ones that give mean-reversion systems the biggest headaches, but I will hopefully be able to test the entire period from 2000 to today. Interestingly, on the long term chart frames, I don't think we have had a consistently mean reversion regime for any period of time since 1982 on the daily charts. This goes contrary to known outstanding firms like Rentec that claim to be contrarians. That means that conjecturelly (is that a word?) markets aren't fractal (because Rentec makes most of it's money intra day and therefore there must be lots of mean reversion going on intraday). An interesting observation if true.
Up to the second "NFV" ~1165.01. SPX ~1167.23. Almost 100% convergence. I didn't think I would see it in my lifetime.
100% wrong. I honestly didn't think there was any edge short, but 12 handles ES and 22 NQ down handles later...