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Joined January 2013
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Jun 11
Our latest new feature lets you backtest Custom Ranking models (similar to Millennium Alpha, Vision, etc.).
Here's how it works:
- Create a simple screener
- Make a Google Sheet with 2 columns: metric importance score
- Paste the sheet URL your screener into the backtester
It ranks once, then reuses the model for fast iteration. I find that LLMs make great assistants when designing the ranking model itself!
Step by step instructions here: signal-sigma.com/public-rese…
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Jun 12
The violent reversal of Gamma Exposure in $SPY yesterday has generated a short term BUY signal.
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Jun 11
Chart of the day: Risk versus Reward is tilting toward more potential reward again.
The options market is pricing medium term risk as lowest since the April 2025 tariff tantrum. We classify contracts expiring in 1-6 months as "medium term."
Risk still exists in the short term! But that's not what I'm personally focused on.
Full study: live.signal-sigma.com/invita…
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Jun 11
Using a basic screener for currency and asset type plus the parameters of our Momentum ranking model, I was able to create a strong trend following strategy for European stocks.
Here's the finished product: live.signal-sigma.com/invita…
(excuse the price spike - that's on our data providers but has no impact on scoring otherwise)
Jun 11
Our latest new feature lets you backtest Custom Ranking models (similar to Millennium Alpha, Vision, etc.).
Here's how it works:
- Create a simple screener
- Make a Google Sheet with 2 columns: metric importance score
- Paste the sheet URL your screener into the backtester
It ranks once, then reuses the model for fast iteration. I find that LLMs make great assistants when designing the ranking model itself!
Step by step instructions here: signal-sigma.com/public-rese…
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Jun 11
The Screener is super basic. Contains just 2 filters:
- Currency (EUR)
- Asset Type (Common Stock)
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Andrei Sota retweeted
Opinion: From card carrying optimist to doomer.
I want to expand upon the value of Andrei's Millennium Alpha score viz-a-viz the risk that we investors are about to face, associated with our inheriting exposure to the SpaceX, Anthropic, and OpenAI I.P.O.s (...whether you buy the assets themselves or not).
• these multi-TRILLION dollar I.P.O.s will make the companies, themselves, a bundle ... but likely expose you to more risk than returns,
• to some (not insignificant) extent, these companies change the investment dynamic to a point that these three, alone, will bear on our investment success going forward. (not priced in),
• the possibility exists that the debut of these I.P.O.s could actually produce a negative shock with a subsequent devaluation of assets across the board, and
• of course ... bubbles eventually pop.
Key Points:
1. Over the past year, approximately 15 stocks have been responsible for 60% of equity returns.
2. My examination of stocks FinTwit authors were pushing included those 15. (You're on it.)
3. Andrei's Millennium Alpha highest scoring assets ... included those 15. (Quality and value are resilient. He's on it.)
Bottom Line:
I think there's even more serious shit coming our way and it's time to turn up the dial on big picture risk awareness.
An AI-driven market correction could catalyze and accelerate an economic downturn. It appears to me that the stage is being set. Getting closer by the day.
Risk On → Risk Aware → Risk Off
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Jun 10
3 years ago, a system called Millennium Alpha started trading on an obscure website called Signal Sigma.
The website is still obscure.
But man... the system made a lot of you wealthier! Thank you for being here, everyone 🙏
And happy birthday to this beast of an algorithm! 🎂
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Jun 10
YES! Exactly this.
Regarding the recent action:
You can't make big returns without giving some back.
If you have a system that is based on big/home run trades and selling most of your shares on weakness in stocks, you must accept 5 facts:
1. You can't have outliers by intervening too much into strength.
2. We can never predict the power of a stock beforehand, so there is no reason to judge.
3.Not all drawdowns are created equally. There are drawdowns from peak capital and drawdowns on the money we actually own. There is a difference between the two. We can't avoid the first, but we can do a lot to have protective measures for the second.
4. We are the ones who create our portfolios. If we have a lot of volatile names in our portfolio, we must anticipate and accept the volatility that comes with them, both on the positive and negative side. We need to understand what's normal to give back.
5. No matter how many Market Awareness flags are evident, you can't shift your stance 180 degrees from one day to the next. We take progressive actions into defense as more and more signs appear.
Giving back some profits is not a bug.... It's a natural thing that should happen in a system like this.... It's a healthy sign that you were positioned correctly in a good run, in good stocks, and followed your principles..... You should be proud instead of being salty....
The damage is not caused by giving some profits back
The damage occurs when you are surprised by this fact every time, when it is actually a normality and violate rules after the fact.
The damage occurs when you don't understand how much is normal to give back based on the volatility of your own portfolio in each regime.... 8%, 10%, 15% ???
The damage occurs when you aim only for offense without having defense mechanisms pre planned. Mental and technical.
To be honest, instead of being salty, I treat these corrections as healthy.... More time for research, for refining skills, for time with family....and for new leadership to emerge... Especially when you have made a good buck over the past 2 months....Recharge your batteries , your clarity and be ready again when things turn!
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Jun 10
In the same vein, Market Breadth actually improved yesterday.
Not by much, mind you, but it was a positive day, not a negative one.
live.signal-sigma.com/invita…
Jun 10
Yesterday the S&P 600 (small-cap) A-D Line made a new Bull Market high AHEAD of price — despite a nasty day across other parts of the tape. Very bullish IT/LT.
As we keep repeating: this is a Bull Market doing Bull Market things.
Major tops do NOT form while the A-D Line leads price. The NYSE A-D already made new ATHs ahead of price — 13th time since 1950. Now small-cap breadth reconfirms, with other internals lining up too.
Breadth leads. Price follows. $SPX
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Jun 10
Feels wrong doesn't it?
This is the Sectors leaderboard from yesterday, on a closing basis.
10 out of 12 major Sector ETFs finished higher.
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Jun 8
Case in point: short term skew for $SPY, derived from options which expire 2-5 days in advance was showing the highest demand for protection this year on May 29.
A significant number of bearish bets are in the money.
Jun 8
A common thread with markets near all time highs is fear of a crash and a focus on extraordinary extensions.
Yet when everyone is aware of the issues and positioning reflects skepticism and hedging - downside tends to be more limited than feared.
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Jun 8
A common thread with markets near all time highs is fear of a crash and a focus on extraordinary extensions.
Yet when everyone is aware of the issues and positioning reflects skepticism and hedging - downside tends to be more limited than feared.
Jun 8
Generally speaking, buying during a mild drawdown tends to work out better than feared.
I highlighted instances when $SPY was down between -2.5% and -5% from all time highs.
As it turns out, this is a way to validate the existence of a bull market, since otherwise drawdowns would be higher.
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Jun 8
The options market already reflects a heightened state of anxiety, especially in the near term.
Friday was a record day for put volume.
My read is that traders and speculators are hedged.
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Jun 8
Generally speaking, buying during a mild drawdown tends to work out better than feared.
I highlighted instances when $SPY was down between -2.5% and -5% from all time highs.
As it turns out, this is a way to validate the existence of a bull market, since otherwise drawdowns would be higher.
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Jun 8
2.8% median returns after 1-Month strikes me as a very high value, given the circumstances.
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Jun 5
PRO TIP
Add our website to your "Always Active" settings in Chrome.
This will allow maximum performance while using our app and it really does make a difference without eating up your RAM.
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Jun 5
Seeing the same. Our own metric on the upper panel reads 56/100.
Below the historical neutral level.
Jun 5
🇺🇸 Sentiment
The S&P 500 is flirting with record highs, and with the Fear & Greed Index holding at a neutral 55, the market is not showing signs of excess just yet
👉 isabelnet.com/?s=sentiment
@CNNBusiness $spx #spx #sp500 #equity #stocks #stockmarket
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Jun 4
The 200-DMA extension is large, that's true. In fact it's in the 80'th percentile of observations.
But what does history have to say about that?
Similar extensions are uncommon but by no means rare. In 94% of cases, the market was higher 1 year later with 16% median returns.
Jun 4
📈⚠️📊 El S&P 500 cotiza cerca de un 11% por encima de su media móvil de 200 días, acercándose a niveles de sobreextensión vistos en máximos anteriores. Cuanto más se aleje de su tendencia principal, mayor será el riesgo de consolidación o corrección. #Marketsbets #WWEClash #SP500 #AnálisisTécnico #WallStreet
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Jun 4
This is the returns table.
As always, no guarantees about the future, but as far as I am concerned, the extension looks bullish longer term (3-12 months out).
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