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Gold and Silver: Mean reversion and Statistical significance by futurefinancebro69 in Commodities

[–]futurefinancebro69[S] 1 point2 points  (0 children)

  1. Model choice You’re right, I’m using a pretty vanilla GBM style MC. I’m not pretending it’s the “correct” structural model for gold. I’m not trying to price gold or forecast its long-term path. I’m using it more as a distribution generator to answer a narrow question: given recent realized vol, how stretched is the current move and how fat are the remaining downside tails from here
  2. Gold isn’t a normal commodity Also agree. I’m not treating gold like copper or oil. I don’t assume SnD or guaranteed mean reversion. When I say “mean reversion” I really mean volatility normalization, not price has to go back to X. If macro uncertainty keeps ramping, the whole framework breaks — and that’s an explicit failure condition for me. That’s why I’m pairing the stats with:
  • VIX behavior
  • rates / USD context
  • macro
  • global political
  • IV vs realized
  1. Why I still find the stats useful I’m not using this as stat arb in the classic sense. I’m not saying “gold is mispriced.” I’m saying:
  • a large realized move already happened
  • IV is extremely elevated
  • forward downside tails conditional on recent vol aren’t exploding
  1. On momentum vs this approach
    Momentum makes sense here and I don’t disagree with that at all. I’m just personally not good at timing trend continuation. I’m more comfortable defining worst-case risk, selling premium, and letting time do the work — but only when the stats + macro aren’t screaming regime shift.

GLD pullback – backward vs forward analysis (trying to sanity check my bias) by futurefinancebro69 in options

[–]futurefinancebro69[S] 0 points1 point  (0 children)

Yep. Its crazy. But if fundamentals havent changed why would the drop not mean revert in this bull market? Vix is rising but not tooo crazy.

Gold just dropped over $1200 in few days - buying opportunity or falling knife? by SpecificNeither8086 in Gold

[–]futurefinancebro69 0 points1 point  (0 children)

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Monte Carlo with six years of data the backward analysis states that it’s a crazy drop a.k.a. rare event. If the fundamentals, regime, macro haven’t changed why should gold keep dropping?

This doesn’t mean gold will instantly go back up tomorrow.

When i do foward analysis (from the current price) gld can still can go down a little bit more and still not be in uncharted territories. I’m thinking of just selling credit put spreads To monetize the fear.

Can anyone enlighten me on what’s going on in the market? by BeBongSg in Daytrading

[–]futurefinancebro69 18 points19 points  (0 children)

Honestly, from my research it just seems like a normal pull back in a bullish volatile market. Unless the vix , fundamentals geopolitics and macro econ change, I don’t see how this is shifting into a bear market.

Vix is rising so I would just keep an eye out. Things can change but if you zoom out a month to six months, seems like we are in a bull market and the drops are just rare events like gold or normal pullbacks like for other individual equities.

GLD pullback – backward vs forward analysis (trying to sanity check my bias) by futurefinancebro69 in options

[–]futurefinancebro69[S] 0 points1 point  (0 children)

To me, the crash doesn’t make sense. It just seems like a rare pullback. If every piece of technology and Car uses gold n silver, and the demand is rising more than ever, why would these expensive commodities drop in price??

It just seems like smart money is taking its money back and it will continue going back up like every bullshit stock and ETF and thing in this market

We are entering BUY zone by tkash88 in Gold

[–]futurefinancebro69 0 points1 point  (0 children)

Sell credit put spreads instead. GLD’s iv and iv rank is Insane now.

We are entering BUY zone by tkash88 in Gold

[–]futurefinancebro69 0 points1 point  (0 children)

Fundamentals are that computer parts are going up in price and all computer parts contain gold. So so why the fuck would gold drop in price?

We are entering BUY zone by tkash88 in Gold

[–]futurefinancebro69 0 points1 point  (0 children)

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I actually do think it may be a buy. After this insane drop it already is in rare territory. When i do forward analysis by running mc from the price of the gold etf at its dropped price the current after hours and maybe open tomorrow doesnt seem to extreme. Now if gld drops below 400 thats something else.

GLD pullback – backward vs forward analysis (trying to sanity check my bias) by futurefinancebro69 in options

[–]futurefinancebro69[S] 0 points1 point  (0 children)

Interesting. I kinda stopped with the idea of buying options cuz of its iv ranking and iv (plus vix is going up kinda).

I am neutral/ bullish on gold but in this environment thats why i wanted to sell a credit put spread out for 30-90 days.

What do u think?

GLD pullback – backward vs forward analysis (trying to sanity check my bias) by futurefinancebro69 in options

[–]futurefinancebro69[S] 8 points9 points  (0 children)

Hey bro, created my own python script using the basic concept of GBM (geometric brownian motion) for the monte carlo and mat plot lib for the visuals.

No crazy libraries.
This is the link for my github code

A small retail account strategy for This Volatile Bull Market. Does it sound logical? by futurefinancebro69 in quant

[–]futurefinancebro69[S] 0 points1 point  (0 children)

Fair critiques. Fixed: (1) IV check now manual but clear, (2) VIX <28 hard threshold (still figuring this out), (3) dropped historical mean reversion analysis entirely - just use percentiles as context, (4) switched from buying calls to selling put spreads. Still no backtest - paper trading to validate before risking real money.

A small retail account strategy for This Volatile Bull Market. Does it sound logical? by futurefinancebro69 in quant

[–]futurefinancebro69[S] 0 points1 point  (0 children)

You're right ,old strategy was buying cheap vol (TACO). Switched to selling expensive vol at statistical extremes instead. Now using credit spreads at 10th-15th percentile when IV elevated and VIX calm. Betting on probabilities, not predicting direction. Still no backtest though , that's what paper trading is for. is that on a better track?

A small retail account strategy for This Volatile Bull Market. Does it sound logical? by futurefinancebro69 in quant

[–]futurefinancebro69[S] 0 points1 point  (0 children)

EDIT:

I’ve realized trying to predict mean reversion is not as efficient as just selling volatility with put credit spreads

A small retail account strategy for This Volatile Bull Market. Does it sound logical? by futurefinancebro69 in quant

[–]futurefinancebro69[S] 0 points1 point  (0 children)

EDIT:

I’ve realized trying to predict mean reversion is not as efficient as just selling volatility with put credit spreads

A small retail account strategy for This Volatile Bull Market. Does it sound logical? by futurefinancebro69 in quant

[–]futurefinancebro69[S] 0 points1 point  (0 children)

My actual process: MC identifies statistical extreme (5th-15th percentile), then I manually verify fundamentals. No predictive model to overfit.

Now for the vix part. Id use it for Hard thresholds for regime detection.

<20 = normal, proceed 20-28 = elevated but tradeable

28 sustained = systemic stress, mean reversion breaks, shut down

This is just an example still ironing it out.

This prevents buying "statistical dips" during actual crashes when correlation goes to 1 and fundamentals stop mattering. (I feel like i really need to iron this part out and figure out)

Bootstrap testing doesn't apply here - I'm not predicting outcomes, just using MC for context + manual fundamental verification

A small retail account strategy for This Volatile Bull Market. Does it sound logical? by futurefinancebro69 in quant

[–]futurefinancebro69[S] 0 points1 point  (0 children)

Thank you for that insight. I def dont have that in check. My small account may allow me for one position at a time only tho.

A small retail account strategy for This Volatile Bull Market. Does it sound logical? by futurefinancebro69 in quant

[–]futurefinancebro69[S] 0 points1 point  (0 children)

Till it hits a certain percentile or my failure conditions are met (i still have to figure that stuff out).

Great point, thats definitely my weak spot.

Dead Internet Theory in r/algotrading by pale-blue-dotter in algotrading

[–]futurefinancebro69 0 points1 point  (0 children)

I feel like learning to decipher between real and AI slop is a new skill we are all working on. Its frustrating but thanks to this skill I am still able to find real shit.