Hi all,New to P123 and a long time 100% derivatives/vol trader. Im looking to expand my horizons and was playing around with the Rank tool.I noticed that in a couple of the ranking systems,the "best" bucket outperformed the "worst" bucket by 2500 basis points..Im not suggesting that one slap on the top percentile rank stocks and short the bottom tier,but Im looking to trade it small.
Any words of advice appreciated,
Allan
You'll definitely get more excited about the short side of the AI system
Welcome! Can you expand a bit on "in a couple of ranking systems"? What are these systems?
Sure,look at Basic Value,15 years 50 buckets...Its a somewhat extreme example at the tails,but there looks to be 1000 Bps in spread between upper tier buckets vs lower... My inclination is to look at top ranked portfolios and trade long vol against them,especially at these vol levels
An established system, good! I was worried you'd fallen into the standard trap of overfitting past data. Unfortunately I have no experience shorting stocks, I hope and think someone else will have advice. I guess the first issue is: what's the cost of shorting extremely expensive stocks?
Right. Short sellers are the least ret...uninformed investors. The fees would be high if the chance is actually good
Im assuming you are talking Borrow costs..Thats a good point,and I have a funny feeling alot of the stocks in the lower percentile ranking may be tough to borrow..May be better off looking at SPX vol to trade against the portfolio..Im on my first day looking at P123,so Im pretty new to this!!
Yeah, I tried screening for the ten lowest ranked stocks (using Core Value) in Russell 1000. @short is the current percentage of shares shorted.
As a long time option trader, do you know synthetic shorting?
Hello,
A reminder that we don't allow personal attacks on the forums. If they continue we will ban both members for 30 days. In other words provocation and reaction will be treated equally.
The messages are being deleted.
Thank you!
I didn't make any personal attack. Because I'm not judging things based on people, I'm judging people based on things as evidence.
personal attack (plural personal attacks) An abusive remark about a person, without supporting evidence.
