SITREP 0924
It's the end of the month already. Where do the days go?
Disclaimer: the following post is an organized representation of my research and project notes. It doesn’t represent any type of advice, financial or otherwise. Its purpose is to be informative and educational. Backtest results are based on historical data, not real-time data. There is no guarantee that these hypothetical results will continue in the future. Day trading is extremely risky, and I do not suggest running any of these strategies live.
You know what this is: the EOM update. This month, we got a frago and decided to canx another indicator build/test and push the trade report series to some time in the future. Instead, we decided to take a look at the CBOE Volatility Index (VIX) and do some testing, coding, and strategy building. I'm quite happy with how that has gone so far.
Part 2 is going to be released this weekend (unless I lose internet/power). It will have example use cases of the VIX and showcase its uses in a simple strategy (think EMA crossover or adaptive buy-and-hold). Shortly after that, I am going to release Strategy 12 and 13. They are related to each other, so it makes sense to release them back-to-back.
During this time, I am also going to publish my first video. I think you can do that on Substack, right? It's going to be a short video of me just going through the process of getting some historical data from Norgate Data, formatting it or transforming it, and building a simple script to print a colored correlation matrix to the terminal. This is mostly for fun and to test how I feel about doing some coding videos. The idea is going to be to do it one take, with minimal to no editing. Expect errors, not-so-sexy typing, and pivots and learning moments along the way. Hopefully it won't be too bad. If it is, I am sure y'all will let me know.
Doing
VIX — part two.
Python coding video to show case building a correlation matrix for features/targets. I will include the DVO indicator that
antitativo introduced in a recent article.Adjust Strategy 12 and 13 to use individual contracts (thanks
!).Strategy 12 and 13.
Fix that damn p-value calculation in the optimization function.
To Do
Build Discourse forum for HGT community. <---- This is new!
Build an indicator in Sierra Chart
Build rotational SPX strategy that uses relationships found with VIX series and Strategies 12 & 13.
Sometime in the Future
Build a Chat GPT (eventually access any GPT) add-on for NinjaTrader users and put it on the market place.
Film more coding videos.
Build a strategy in Sierra Chart.
Create a weekly trade report for intraday futures traders.
Did you see that I am going to build a forum for the HGT community? That's right. My Discord chat idea has been mostly a quiet failure (although I do chat with some readers from time to time directly there), so it's going to get DCed and replaced with a forum. I think the forum platform will suit the community better, since it's much more accommodating of asynchronous conversation. Once finished, I will invite all paid subscribers to the forum. This way, we can discuss strategies, ideas, and everything else in a private forum.
That's it for this post.
For all you folks in the path of the storm, stay safe! I'm not in Florida, but I'm within its predicted path. Fingers crossed I don't lose power.
Happy hunting!
The code for strategies and the custom functions/framework I use for strategy development can be found at the Hunt Gather Trade GitHub. This code repository will house all code related to articles and strategy development. If there are any paid subscribers without access, please contact me via e-mail. I do my best to invite members quickly after they subscribe. That being said, please try and make sure the e-mail you use with Substack is the e-mail associated with GitHub. It is difficult to track members otherwise.
Feel free to comment below or e-mail me if you need help with anything, wish to criticize, or have thoughts on improvements. Paid subscribers can access this code and more at the private HGT GitHub repo. As always, this newsletter represents refined versions of my research notes. That means these notes are plastic. There could be mistakes or better ways to accomplish what I am trying to do. Nothing is perfect, and I always look for ways to improve my techniques.