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Tradestation - Risk Asessment
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Tradestation - Risk Asessment

  #1 (permalink)
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Tradestation - Risk Asessment

folks, i typically do not have much by way of accessing or gauging Risk and Volatility when looking at ES.

Would like some thoughts/discussions around Beta Drift or High Beta and Low Volatility which can perhaps act as a data point for gauging risk. I get the concept when comparing a Stock to an Index where HBLV probably comes in. How can this be applied to Futures.

I did see a few users coding HBLV for Ninja and ofcourse @Big Mike has his HGBLV-R which is quite impressive. Perhaps any TS users can pitch in with thoughts

Am wondering if you might have some good ways to either construct a HBLV will that help as a Risk guage. If so any suggestions for construction. I do know TS has SPLV and SPHB. Is that something you would use as a ratio?....or any better gauges to risk

thnx and appreciate any and all comments...on any other ways to guage risk when comparing to price of instrument such as ES

thnx

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  #2 (permalink)
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I think i see how HBLV would help...seems HB & LV was indicating divergence

thnx @sclecxe I got the TS symbols of yr chart https://futures.io/index-futures-trading/13452-es-s-p-500-futures-contract-sp500-spoo-nalysis-1773.html#post504938

Thanks @Big Mike for steering the discussions om HBLV. Got me thinking seriously on methods of gauging Risk amd not just HBLV

I think i have a close representation of what was being discussed on the Spoos thread on 17th. Maybe need to adjust scales.

throwing in some charts if an TS user finds it helpful....or any additional comments of a better construction..

top pane SPX Green, SPLV ETF Yellow, SPHB Red, Bottom Pane ES Green, HighBeta Red, LowVol Yellow

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same as above but capturing the closes on 23rd

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was trying to match up HBLV ratio and value of 79 being discussed....think its close...depending on which way it is calculated

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thnx

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  #3 (permalink)
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reasoning for HB and LV Drift and divergences. This is not cut n dry....but previous studies on NY H/L Differences/Ratios, etc...and Volumes and ratios will or may incur inefficiencies. It however seems at all Good Market Tops % Issues Above 200/50/20/10 MAs went hand in hand. So it could be deducted broad based participation. When Indices fell the converse was also true.

Current activity shows that the Wilder swings which we refer to as Volatility and hence many studies of the past cannot be looked at with certainty especially those based of NY H/L, Volume as either there is rotation or Sell of Broad based with certain equities holding markets. So if those equities are let go...there is vacuum. Conversely looked at if there is broader participation the markets can rally. No Bias as market is always right....it looks like distribution or rotation at tops.

These are not models and will I not be trading of this and not a recommendation ...unless co-efficient's and Beta drifts are looked at more closely from a daily/intra-day perspective. Can it yield intraday results...maybe?.

However the study of HBLV-R by @Big Mike and few discussions in the Spoo thread started by @tigertrader and people contributing to the thread to who I am always grateful led me to look at some of recent issues with my trading to understand what is High Beta and what happens to Low Volatility instruments in the past. This is just the start as my quest to manage risk. Will be keeping am open mind however noting that the markets are moving due to fewer instrument participations.

Below Screen shots are easily replicated in TS if one wishes to look/play to understand risks and periods of the same when compared to SPX.X. Same can be easy to do in most platforms. My data lets be go back to approx Mid-2010 which showed interesting observations to me.
Left Panes show Above MAs....Right Panes show Below MAs
NQ
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NQ100
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NYSE
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thnx & cheers


Last edited by paps; July 25th, 2015 at 06:20 PM. Reason: additional info
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  #4 (permalink)
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Alright Som, you made me spend few hours to get this in tradestation. It is effectively Relative Strength of the symbol in reference to SPY.

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Last edited by rahulgopi; July 26th, 2015 at 01:39 AM.
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  #5 (permalink)
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@rahulgopi thnx Rahul. You have all traits of a great trader in the making. Thnx for sharing.

think we are in the midst of many great traders here. It will be for one to understand the concepts as presented in a bigger picture by @tigertrader in the spoos thread and ofcourse @Big Mike who shares so freely and many others in the threads

I will try and continue posting in this thread elements on Risk as I see as I have ignored the Risk aspect which has been so detrimental to the trading. Lol....only thing never been a programmer so could never get the relationship with the zero line as you shared. Yes there is a good thread at Timely Portfolio how this can be effectively used as maybe a Entry/Exit to the Index Timely Portfolio: S&P 500 High Beta and Low Volatility Indexes and Powershares ETFs

I think there are Risk guages which have Daily/ Weekly insight....not sure how they might co-relate to daily timeframes. Will post in the next few weeks as I look at it.

thnx
s

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