Yes gold is in the model. Only one parameter I attempt to predict, and that is the one that inverts, for obvious reasons. The prediction is poor at best. I leave it in because it does smooth results a little bit... I have ideas on far better predictions for it... Someone on this thread long ago suggested trading "FV"/SPX against gold. I think that is a very interesting idea...
Today or Monday we get 1272 ish. Put your game face on. Decide on how close to 1272 you are willing to give up to go long, instrument, month, moneyness, and price action, and so forth so that when the event comes, you are ready for battle. Parameter still very mildly inverted. "Normally, those who arrives at the battlefield first and wait for the enemy to come will be at ease and unhurried, and will have the opportunity to seize the initiative; while those who arrive later and join the battle in haste will easily be exhausted and fill into a defensive position. Therefore, a skillful commander must be able to impose will on the enemy, but not allow the enemy's will to be imposed on him." - Tzu
Wait, I thought the "fair value" of your highly classified model was in the 1500 range. I am confused.
It is approximately 1485 here. Read the thread carefully and you will understand. To summarize, parameter inversion causes us to go into extreme caution. That happened three weeks ago. We then only take long positions at support (or short at reistance if FV were below SPX which it is not.) We are still trading in the direction of FV, just doing it with extreme caution (at major support points) using different moneyness options. We have tight stops, and will let profits run (if we have them) for 50 to 100+ SPX points or until SPX/FV convergence.
I think you are selling your model short...buy now and ride till 1500. All my indicators are screaming buy.
Here we are, 1272. If you have been patient, go long with balls on a cross of 1272 from below using at least 50 delta call options, unhedged. We throw in the towel and hedge at 1262-1264. Otherwise we let this trade run for 100+ handles or until FV and SPX converge. The only star not aligned is parameter very very mildly inverted. That could cause us a bit of grief. We are predicting that it rights itself within a week, and hopefully market goes sideways to up, not down enough to stop us out.
Someone is going to get hurt here, and it is the shorts: <object style="height: 390px; width: 640px"><param name="movie" value="http://www.youtube.com/v/N-BRbMm7bI4?version=3"><param name="allowFullScreen" value="true"><param name="allowScriptAccess" value="always"><embed src="http://www.youtube.com/v/N-BRbMm7bI4?version=3" type="application/x-shockwave-flash" allowfullscreen="true" allowScriptAccess="always" width="640" height="390"></object>
paulson and gold man sachs was just covering at the bottom. shorted and sold at peak in 2007 market makers like paulson hedge funds and goldman sachs hedge funds and quants ARE the NEW MARKET MAKERS anyone can be market makers these days some stocks and futures contracts don't even have market maker.