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R Shiny Project -- Soderstrom Notes
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R Shiny Project -- Soderstrom Notes

  #1 (permalink)
Austin TX
 
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R Shiny Project -- Soderstrom Notes

When I started my relationship with futures.io I used it as a source to learn Ninjatrader and code indicators for Ninjatrader. With Ninjatrader 8 and all the bugs I found in NT8 I decided to move on. Nowadays the majority of my coding is done in R, Python and other languages.

This thread is my way of saying thanks to the BMT community. Since BigMike is asking for help with this section of the forum, I will answer that call and share with you some of my projects here.

My first tool that I will share is something I call Soderstrom Notes, it is a Shiny app that gets a number of feed from FRED, BEA, and other sources. built to share my notes and indicators that I like to use when gauging the economy. The best part of all is that it is a reproducible app so when FRED updates there data so does the app.

https://omegasqrd.shinyapps.io/Soderstrom_Notes_V1/ (you may have to cut and paste the link into your browser)

As of today, it is a work in progress, but as time moves forward I hope to have a lot of information shared there. The code is a bit large, so instead of posting all of it, just ask for what code you're looking for and I will share it.

Cheers,

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #3 (permalink)
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very interesting, thanks for sharing

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  #4 (permalink)
Legendary Market Wizard
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Very interesting. Thank You. (And welcome back).

Being a commodity guy I don't look at many of these relationships. One I found particularly interesting was the SP500 Return/Shiller Ratio where you show 1 year and 15 year. That's a very wide gap and I was curious what does say the 5 and 10 look like? Interesting that at the current levels this would imply the next 15 years aren't going to be great!

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Welcome back!

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SMCJB View Post
Very interesting. Thank You. (And welcome back).

Being a commodity guy I don't look at many of these relationships. One I found particularly interesting was the SP500 Return/Shiller Ratio where you show 1 year and 15 year. That's a very wide gap and I was curious what does say the 5 and 10 look like? Interesting that at the current levels this would imply the next 15 years aren't going to be great!

Right! What I am suggesting is that the Shiller P/E ratio is a bad forecaster for one to 5 years, but a pattern starts to develop the further you extend the analysis. I was debating adding the ability to pick the year to run the regression analysis on. Based on your comments I will consider this again.

What this forecast is suggesting (today) is that with the current valuation levels a market correction (mean reversion) should take place in the next decade. When and how much is anyone's guess? A prudent investor should keep that in mind when deciding if they should be passive or active in their investment strategy.

I am also a commodity guy but been focused on retail portfolio management the last few years. Thinking about the long-term outlook has helped my commodity trading tbh..

Cheers,
Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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Off subject - but knowing your a Natty guy - nice move this morning :-)!

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  #8 (permalink)
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SMCJB View Post
Off subject - but knowing your a Natty guy - nice move this morning :-)!

Yeah it was, do you trade Natty curves? Spreads also had a fun day.

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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  #9 (permalink)
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Since going out on my own, over the last 9 years I've gone from being a Natty Guy, to a mostly Natty Guy, to an Energy Guy, to a mostly Crude Guy. Too little NG trades (outside the prompt), spreads are too tight, and the other Algo's are faster and in my opinion too aggressive. I see stuff trade now, especially on ICE, that you can not make money on if your paying exchange fees.

So over the last 25 years I've gone the whole circle. Started in Oil, moved to Power, then to Natty, and now back to (mostly) Oil.

Still at the Hedge Fund in Austin?

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  #10 (permalink)
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SMCJB View Post
Since going out on my own, over the last 9 years I've gone from being a Natty Guy, to a mostly Natty Guy, to an Energy Guy, to a mostly Crude Guy. Too little NG trades (outside the prompt), spreads are too tight, and the other Algo's are faster and in my opinion too aggressive. I see stuff trade now, especially on ICE, that you can not make money on if your paying exchange fees.

So over the last 25 years I've gone the whole circle. Started in Oil, moved to Power, then to Natty, and now back to (mostly) Oil.

Still at the Hedge Fund in Austin?

I am not talking about the Bid/Ask spreads, but the curve spreads. Like natties famous Mar/Apl. Spreads are almost impossible for algo to figure out what you're doing because they don't have a way to see the other side of your trade. And no, I am in Fort Worth running my own fund now, made the leap to go out on my own.

Sody

"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
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