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Maggette


Total Posts: 1225
Joined: Jun 2007
 
Posted: 2015-11-18 12:00
Sure.

"Fundamental value" is a result of a model. But so is any trade based on quantitative models.

You have better and quasi-scientific tools to eveluate. But the markets can also moc´ve away from what your model predicted.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

svisstack


Total Posts: 341
Joined: Feb 2014
 
Posted: 2015-11-18 12:13
>> And in regard to making money with fundamental analysis, the categories of people you've mentioned most times are just lucky. How many startups never went anywhere?

Yes its hard, but i dont see any luck in startup space like in other spaces. Did you think there will be possible to create random strat and raise money on them in trading industry wout/backtesting? Impossible. I see amount of luck at similar levels here and here.

www.coinapi.io && www.cryptotick.com

goldorak


Total Posts: 1090
Joined: Nov 2004
 
Posted: 2015-11-18 12:40
> But so is any trade based on quantitative models.

Sorry, but I cannot remember having used any "model" for trading and absolutely never would. So "any" is probably mistaken.

So do fundamental analysis. I can see it as a relative value trade which does not need any underlying model.

If you are not living on the edge you are taking up too much space.

Maggette


Total Posts: 1225
Joined: Jun 2007
 
Posted: 2015-11-18 13:28
I most probably use the term "model" rather boradly.

IMHO as long as you use the bayesian or frequentists approach to statistical modelling, time series analysis and machine learning...you use a "model".

model = an abstraction and description of a real world system.

Anyway, I can't explain why I am participating in a "are you bullish" on gold thread. Where are all the interesting discussions from back in the days;)

The only thing I do here is take the thread off-topic and create noise. So I will keepp my mouth shut.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

TSWP


Total Posts: 434
Joined: May 2012
 
Posted: 2015-11-18 13:45
Maggette,

if we start to go into definitions it gets complicated.

Fundamental analysis at its core is what Graham did, however when we apply that concept to FX or futures commodities it becomes a "macro" thing, as you said.

I know we are all quantitatively-driven here, hence my surprise at seeing an attempt at determining the trend direction of prices of an asset using non-statistical, random information.

I mean no disrespect to the OP or anyone else who has different opinion on this, in the end if they can make money, good for them, I just doubt that a generic "fundamental analysis approach" not framed in a statistical and systematic context can work well consistently.

The only thing that counts: can you make money?

Patrik
Founding Member

Total Posts: 1363
Joined: Mar 2004
 
Posted: 2015-11-18 14:52
As far as commodities goes (and I don't include gold in this grouping), there's a lot of what I call "micro" fundamentals quite unrelated to the "macro" world (at least as 1st order approximation) - pipeline flows, logistics, new storage, refining going offline, new seed technology, weather event, etc. Plenty of folks care a lot more about that than e.g. total world demand or supply. It's not hard to me to imagine persistent edges in the former while struggling to see it in the latter.

Shades of grey..



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rickyvic


Total Posts: 205
Joined: Jul 2013
 
Posted: 2015-11-18 16:22
@Patrik
do you think all this stuff is relevant for contango traders? i.e. you need to have the info otherwise you get screwed?

"amicus Plato sed magis amica Veritas"

tbretagn


Total Posts: 283
Joined: Oct 2004
 
Posted: 2015-11-19 10:53
@rickyvic, regarding LME for example, you can get wiped out by a few guys playing spreads and with direct access to physical flows.
And it's very difficult to go against as they will push the dislocation to a level where you don't think it makes sense, but given incentives on the physical side they can hold that for a while.

Et meme si ce n'est pas vrai, il faut croire en l'histoire ancienne

rickyvic


Total Posts: 205
Joined: Jul 2013
 
Posted: 2015-11-19 13:09
@tbretagn, thanks very interesting....
...
regarding LME for example, you can get wiped out by a few guys playing spreads and with direct access to physical flows.
...
I agree that physical traders have a stronger position, I also heard they provide good prices off exchange thanks to this advantage.
....
And it's very difficult to go against as they will push the dislocation to a level where you don't think it makes sense, but given incentives on the physical side they can hold that for a while.
....
Agreed, something to have a look at, can limit orders be used to avoid this?
More specifically is the real problem getting out of the trade or getting in at the level you want, or perhaps risk of drawdown if the spread moves against you given something unexpected?


"amicus Plato sed magis amica Veritas"

Patrik
Founding Member

Total Posts: 1363
Joined: Mar 2004
 
Posted: 2015-11-19 13:20
Not sure what your definition of a "contango trader" is?

Having risk affected in a major way by these "micro" events, that you hold over longer time horizons (i.e. not in the seconds to hours space), and not being aware of the fundamental/physical world - I'd consider that a bit careless. Not the only tool in the toolbox but no reason to pay no attention to it.

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rickyvic


Total Posts: 205
Joined: Jul 2013
 
Posted: 2015-11-19 14:43
Not sure what your definition of a "contango trader" is?

One that trades spreads over the forward curve, in fact in my specific case without holding physical inventory and having physical flows (unfortunately).

Having risk affected in a major way by these "micro" events, that you hold over longer time horizons (i.e. not in the seconds to hours space), and not being aware of the fundamental/physical world - I'd consider that a bit careless. Not the only tool in the toolbox but no reason to pay no attention to it.

Yes certainly it is something to look at. Any data sources I can have a look at? I have to say it is very much early stage research at the moment.

Thank you

"amicus Plato sed magis amica Veritas"

Patrik
Founding Member

Total Posts: 1363
Joined: Mar 2004
 
Posted: 2015-11-19 18:11
Holding period here is obviously very important - I'm talking about a few days to a few weeks kind of trading, not intraday jobbing.

Data sources depends on market - by definition these things are quite intrinsic to the exact market and contract you're looking at. There's also a large component of non-quantitative data - i.e. reading a ton and talking to fellow market participants. Just "being in the market" so to say.

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rickyvic


Total Posts: 205
Joined: Jul 2013
 
Posted: 2015-11-19 18:17
Thank you

"amicus Plato sed magis amica Veritas"

EspressoLover


Total Posts: 419
Joined: Jan 2015
 
Posted: 2015-11-20 01:03
There's pretty strong evidence that contango in commodity markers predicts abnormal returns, even when naively implemented without any fundamental flows. See figure 4.


Good questions outrank easy answers. -Paul Samuelson

rickyvic


Total Posts: 205
Joined: Jul 2013
 
Posted: 2015-11-20 11:30
Certainly it predicts what they are arguing is that it is wise to look at other micro fundamentals to make the prediction or rule better.


"amicus Plato sed magis amica Veritas"

fantisst


Total Posts: 13
Joined: Jul 2011
 
Posted: 2016-02-04 03:59
Anything new?

nikol


Total Posts: 1063
Joined: Jun 2005
 
Posted: 2020-05-13 15:21
Powell made strong signal?

https://www.bloomberg.com/news/articles/2020-05-12/fed-s-powell-to-address-dire-outlook-need-for-stronger-support
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