Nate (@nate_the_great) | Sentiment Intelligence

Replying to @quantguild

Nate @nate_the_great · May 13, 07:05 PM

@nate_the_great · May 13, 07:05 PM

pretoninho This was exactly my issue. Each GICs sector would have a few dominant names, so by randomly selecting stocks for each sector what ended up happening is the dominant names would be missed, View full post

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Replying to @quantguild

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Nate @nate_the_great · May 13, 06:24 PM

@nate_the_great · May 13, 06:24 PM

Equities

pretoninho Awesome, thank you so much for the insight and help!

I am currently busy with the valuations in the back-test. I think this will take quite a while.

I had some ideas of creating a proxy View full post

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Replying to @quantguild

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Nate @nate_the_great · May 13, 06:12 PM

@nate_the_great · May 13, 06:12 PM

Equities

algojay so FF5, as I understand it, explains why companies with different characteristics have higher multiples. Your example was WMT has better profitability and size compared to BJ's and so needs h View full post

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Replying to @quantguild

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Nate @nate_the_great · May 13, 05:54 PM

@nate_the_great · May 13, 05:54 PM

Equities

pretoninho Ah okay I understand, thank you.
So this is actually a really cool addition. If the company specific IV-RV spread is wide it could essentially work with the Kalman filter, to trust the new View full post

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Replying to @quantguild

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Nate @nate_the_great · May 13, 02:38 PM

@nate_the_great · May 13, 02:38 PM

Equities

pretoninho Thank you!

The Kalman filter is something I had never heard of and will definitely take a deeper dive, but how I understand it after a google search, it seems very interesting.
Because we View full post

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Replying to @quantguild

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Nate @nate_the_great · May 13, 02:26 PM

@nate_the_great · May 13, 02:26 PM

Equities

Thanks for taking the time to respond quantguild !

So concerning the smoothing vs filtering issue:
The residual calculation is not truly PIT, but I think that the assumption that the market priced i View full post

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