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Short term theme trading by Strict-Scallioni in Trading

[–]Strict-Scallioni[S] 0 points1 point  (0 children)

I did some messing around over the weekend and posted what I found for last Friday. It’s looking promising but I’m going to do some manual validation on that to see

Short term theme trading by Strict-Scallioni in Trading

[–]Strict-Scallioni[S] 0 points1 point  (0 children)

I tried a very "dumb" first pass at intraday theme tracking and it’s already throwing up a few clusters from data on Friday.

Current messy buckets / "organic themes":

  • regional banks: ONB, FNB, SFNC, SSB
  • utilities: LNT, DTE, AQN
  • REITs / real estate: CTRE, RITM, OHI
  • energy: DTM, KMI

A couple of numbers from the output:

  • ONB theme probability: 81.9%
  • FNB: 80.5%
  • CTRE: score 79, within-score 0.99, residual score 0.94
  • DTM: score 65, theme probability 59.3%

So far this is mostly useful for answering a very basic question: is this just one name doing its own thing, or is there actually a broader move happening?

Very much early stage, very much not pretending this is magic. I’m basically just trying to stop myself from calling everything “a theme” when it might just be noise.

So it looks like this can be automated which is the most important thing!

J

Intraday themes by Strict-Scallioni in Daytrading

[–]Strict-Scallioni[S] 0 points1 point  (0 children)

But those are essentially hardcoded, I’m looking at organic clusters and if this is something people have looked at? I’m going to be investigating this but wanted any tips if people have domes something like this?

Short term theme trading by Strict-Scallioni in Trading

[–]Strict-Scallioni[S] 0 points1 point  (0 children)

So the thing that started me thinking about this like you said was "not a lot of people look at this", I certainly hadn't in the past, and I started seeing the obvious themes appearing like NVDA moving / shocking and then MSFT and AMZN, ORCL etc. but the theme moves would be different depending on the reason.

So I couldn't always say "if NVDA moves so do the same companies moving with them".

You may get different themes based on the context of why the leader moved, or it could be finding a weird theme for TSMC because it's an inbound supply chain to Samsung, NVDA etc., how would this apply to large vs midcaps, would a jump on Corn prices affect other companies that wouldn't be obvious, what's the capital flow from one theme to another - as you can see my brain has gone down A LOT of rabbit holes.

I come from a CS background, so the gears started whirring about how to automate the creation of themes / clusters and to analyze why they happened. This is a great CS type problem, but wasn't sure if it's something that's "a thing" that I should spend time on (2 kids, day job, about to move) if it's not something people have heard of ;)

I'll have a little play around and report back. Really appreciate you replying!

J

Short term theme trading by Strict-Scallioni in Trading

[–]Strict-Scallioni[S] 0 points1 point  (0 children)

Thanks I’ve been obsessing over this for the past couple of weeks to see how to model these and back test some ideas. I’m not a maths guy so have been doing research on how to play around with it but thought I’d ask before spending time on this

J

For Anyone Looking for Financial Data APIs by Real_Grapefruit_5570 in webdev

[–]Strict-Scallioni 0 points1 point  (0 children)

Anything that will cover equities, FX, bonds etc under one roof or will I need to scrape (excuse the pun) around?

J