Author: matas.urbonavicius@gmail.com
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The power of narratives
♦️ This is a winning strategy where numbers are no longer essential. It’s because in the modern ages, Alpha is generated by following the narrative. You see, the human brain can actively hold only 4 to 7 pieces of information at a time. But there are thousands of data points we can find with a…
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Japan’s coming back
Sustained near 4% inflation in Japan is a colossal development in global financial markets no one talks about. It allows the BoJ to continue raising rates and this has insane consequences. 🧾 Since 2012, Yen has been getting weaker against the dollar. About 50%, to be exact. That means if you held Nikkei225 which over…
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Europe in between US and China
Europe is in the game of thrones between two opposing inflations. China is exporting deflation, US is exporting inflation. China has seen an implosion of demand, so to counter this they devalue Yuan which deflates the prices of goods produced in China. For Europe, it means lower car, household item and similar, prices. It’s essentially…
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Saudi hype
Saudi Arabia is the new Unlimited-money hub for private equity and consultants. But it’s still early and it may have the highest returns on the planet right now. Everyone has heard of Saudi mega-projects like “The Line”, “Trojena” or the “Oxagon”. But billions of dollars that are being spent there is just a cherry on…
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Unreported gold purchases driving the market
originally published on 2025-01 This is why Gold is rising even though there is no demand for it. It’s bonkers. This 140 pages document was where I got my answer. If you look into any of the supply/demand charts of gold, you will quickly notice that demand has been flat while the supply has gone…
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Global Manufacturing PMI update
Do you notice two major trends in the chart below? These are shaping our world. 1️⃣Europe is incredibly cyclical and at the bottom. However, first signs of recovery are here. Current crisis, which lasts for almost 2 years, can also be seen in the stock market. EU stocks are dragging US by historical margins. With…
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A trendline-drawing algorithm
We have all seen and tried drawing some trendlines on the charts. Wedges, channels, support, resistance, you name it. But how do we draw them algorithmically? I will demonstrate here using Python software. I have came upon an interesting way to draw them, that is also relatively computationally fast, even without any optimization. First, let’s…
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Exploring Position Sizing: The Trailing Kelly Criterion
Abstract: The conventional wisdom of employing a fixed percentage position size, ex. 2% of one’s portfolio, in trading, might not be the most effective strategy for optimal returns. This article looks into the potential benefits of utilizing the Kelly Criterion as a dynamic position-sizing mechanism to optimize leverage in real-time based on trailing performance. Kelly…
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Expected Trade with Random Forest
A dark, deep forest in the middle of nowhere. Maybe Siberia? Full of bears, wolves and randomness. Each tree has its own lifecycle and has different insects chewing them branches. What does that have to do with the risk management? We will get to it. To start, I would like to ask a question- how…
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Fundamental Economic Indicators. Any Good? – Testing 33 of the Most Popular Metrics for Linearity
Abstract: This article explores some of the economic indicators available on FRED and their potential relationships with the SPX index. A primary aim is to establish if these indicators possess predictive, coincidental, or lagging power relative to the stock market. A selected basket of 35 indicators, satisfying a criteria such as simplicity of interpretation and…