Off The Tape Macro: "0's and 1's" primer, a 3 minute read
Off The Tape Macro: No “entertainment”, just offsides positioning observations
Each week I include a model screenshot of what I call “0’s and 1’s”. I believe my observations on what is “Offsides”, any outlier weekly changes, and weekly charts are valuable to understanding where asymmetric trades are setting up, but to get right to meat of it, this matrix (and the current trend on whether positioning is working or not vs. trend) is a nice dashboard:
Key columns (see matrix below):
Positioning Oscillator percentiles are in columns 2 and 3 (labeled by date)
The "Offsides Index" is the experiment I’m running that blindly runs a book based on Offsides instruments. I’m doing this primarily for the data, and to compare to the SocGen Trend Index. The trend here (working vs not) has helped me decide whether to sharpen my pencil vs. sit on my hands and wait
“Techn” is my observation of the general direction of that instrument using a proprietary (but simple) algo
“CTA’s” tracks what trend CTA’s are doing (sources: SG Trend, replicator ETF’s, and market intelligence)
“MTD” / “YTD” (self explanatory)
The “Vol-Adjusted” data below the matrix tells us the moves from the previous week as a multiple of daily vol (pure % should not matter if you are dynamically adjusting position sizes based on vol)
The most interesting part of this experiment is reflected in the:
“Positioning Only” performance box. This = avg vol-adjusted move on the week for “Offsides” instruments
“Technicals Only” performance box. This = avg vol-adjusted move on the week for long Positive and short Negative Technicals
Comparing the delta here tells me if Positioning vs Technicals is “working or not”
I track this on a weekly basis and the histo looks like this:
Real-time Matrix of "0’s and 1’s”:
If you can name the chart, you are my hero. Reach out to me w/ any questions - 400619470@bloomberg.net