QUANTITATIVE RESEARCH AND TRADING - The latest theories, models and investment strategies in quantitative research and trading
Trader Edge
Trader Edge
Description: Quantitative Systematic Market Analysis
The ISEE sentiment index is the ratio of opening long call options to opening long short options. The idea is that the greater the ratio of calls, the more bullish the sentiment, and that this is a more reliable indicator (compared to other sentiment indices) because it’s based on actual trades as opposed to surveys. Compared to the AAII sentiment numbers it also has the enormous advantage of being available almost in real time, instead of updating once a week. Keep in mind though that it’s only based on tr
There are a couple of different versions: one for all securities, one for equities only, and one that’s ETFs only. I will be using the equity ISEE for this post. Can we use it to trade? Let’s start with some charting. Here’s ISEE plotted against SPY:
Visual inspection seems to suggest a contrarian trading strategy, as bottoms in the ISEE tend to correspond to bottoms in SPY. But is there a way to pick out the bottoms and create a profitable trading strategy?
QUANTITATIVE RESEARCH AND TRADING - The latest theories, models and investment strategies in quantitative research and trading
Trader Edge
Trader Edge