LD Lossdog Research
time-horizon

35 days

2 matching records.

Trade idea

SPX statistical arbitrage

The expected move in the S&P 500 for the next 35 days is approximately 5%, which is considered a one standard deviation move. If the price breaks through this level, it indicates a significant deviation from the expected range, and the trade should be exited to avoid further losses. This approach is based on statistical analysis of market movements and assumes that the market will revert to the mean within the given time frame.

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Strategystatistical arbitrage
Assetindex
Time horizon35 days
Entry / triggerBuy S&P 500 futures at current price
Target / exit5% move within 35 days
Invalidation / stopExit if the price moves beyond one standard deviation (approximately 5%)
SpeakerScott
Risks
  • Market volatility could lead to unexpected price movements
  • The expected move may not materialize as predicted
  • Liquidity issues in futures markets could affect execution
longindexlongSPX35 days
medium confidenceVerify in video at 41:24 ↗
Trade idea

ES expected_move

The speaker suggests that buying S&P's at the current level and setting a stop at the one standard deviation expected move is a consistent way to manage risk. The expected move for ES is $274, which is a 5% move. If the market does not break down this expected move, the trade should be cut bait. This approach is based on the idea that markets are cyclical and that trades can turn around, so it's important to have a clear stop-loss level to avoid emotional decisions.

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Strategyexpected_move
Assetindex
Time horizon35 days
Entry / triggerBuy S&P's here if the market breaks down the expected move (one standard deviation).
Target / exitThe expected move is $274, which is a 5% move.
Invalidation / stopIf the market does not break down the expected move, the trade is invalid and should be cut bait at the one standard deviation level.
SpeakerLost Dog
Risks
  • Market may not move as expected
  • Volatility may increase, making the stop-loss level less effective
longindexlongES35 daysexpected move
high confidenceVerify in video at 42:02 ↗