 [link] [comments] 0.0 years and 000 backtested trades later I have a habit of backtesting every strategy I find as long as it makes sense. I find it fun, and even if the strategy ends up being underperforming, it gives me a good excuse to gain valuable chart experience that would normally take years to gather. After I backtest something, I compare it to my current methodology, and usually conclude that mine is better either because it has a better performance or the new method requires too much time to manage (Spoiler: until now, I like this better) During the last two days, I have worked on backtesting ParallaxFx strategy, as it seemed promising and it seemed to fit my personality (a lazy fuck who will happily halve his yearly return if it means he can spend 00% less time in front of the screens). My backtesting is preliminary, and I didn't delve very deep in the data gathering. I usually track all sort of stuff, but for this first pass, I sticked to the main indicators of performance over a restricted sample size of markets. Before I share my results with you, I always feel the need to make a preface that I know most people will ignore. I am words on your screen. You cannot trust me. I could have edited this or literally just typed random numbers on a spreadsheet. Do your own research if you want to trust my conclusion. Even if you trust me, you need to do backtesting for yourself. The goal of backtesting isn't simply to figure out whether a strategy has an edge: it's a way to get used to how the market flows (valuable experience you will bring on to any other strategy) and how the strategy behaves. You need to see it with your own eyes to allow your subconscious mind to be at ease when it comes time to trade it live: the only way to truly trust your strategy during a period of drawdown, is to have seen it work over hundreds of trades in the past. Strategy I am not going to go into the strategy in this thread. If you haven't read the series of threads by the guy who shared it, go here. As suggested by my mentioned personality type, I went with the passive management options of ParallaxFx's strategy. After a valid setup forms, I place two orders of half my risk. I add or remove 0 pip from each level to account for spread. The first at the 00.0 retracement. The second at the 00.0 retracement. Both orders have a stop loss at the 00.0 retracement. Both orders have the same target at the -000.0 extension. If price moves to the -00.0 extension, I delete any unfilled orders. I do not scale out, I do not move to breakeven, I place my orders and walk away. Sample I tested this strategy over the seven major currency pairs: AUDUSD, USDCAD, NZDUSD, GBPUSD, USDJPY, EURUSD, USDCHF. The time period started on January 0th 0000 and ended on July 0th 0000, so a 0.0 years backtest. I tested over the D0 timeframe, and I plan on testing other timeframes. My "protocol" for backtesting is that, if I like what I see during this phase, I will move to the second phase where I'll backtest over 0 years and 00 currency pairs. Units of measure I used R multiples to track my performance. If you don't know what they are, I'm too sleepy to explain right now. This article explains what they are. The gist is that the results you'll see do not take into consideration compounding and they normalize volatility (something pips don't do, and why pips are in my opinion a terrible unit of measure for performance) as well as percentage risk (you can attach variable risk profiles on your R values to optimize position sizing in order to maximize returns and minimize drawdowns, but I won't get into that). Results I am not going to link the spreadsheet directly, because it is in my GDrive folder and that would allow you to see my personal information. I will attach screenshots of both the results and the list of trades. In the latter, I have included the day of entry for each trade, so if you're up to the task, you can cross-reference all the trades I have placed to make sure I am not making things up. Overall results: R Curve and Segmented performance. List of trades: 0, 0, 0, 0, 0, 0, 0. Something to note: I treated every half position as an individual trade for the sake of simplicity. It should not mess with the results, but it simply means you will see huge streaks of wins and losses. This does not matter because I'm half risk in each of them, so a winstreak of 0 trades is just a winstreak of 0 trades. For reference: Trades: 000 Profit Factor: 0.00 Return: 000.00 R Strike rate: 00.00% Average win: 0.00 R Average loss: -0.00 R Thoughts Nice. I'll keep testing. As of now it is vastly better than my current strategy. submitted by Vanguer to Forex [link] [comments] Former investment bank FX trader: Risk management part II Firstly, thanks for the overwhelming comments and feedback. Genuinely really appreciated. I am pleased 000+ of you find it useful. If you didn't read the first post you can do so here: risk management part I. You'll need to do so in order to make sense of the topic. As ever please comment/reply below with questions or feedback and I'll do my best to get back to you. Part II Letting stops breathe When to change a stop Entering and exiting winning positions Risk:reward ratios Risk-adjusted returns Letting stops breathe We talked earlier about giving a position enough room to breathe so it is not stopped out in day-to-day noise. Let's consider the chart below and imagine you had a trailing stop. It would be super painful to miss out on the wider move just because you left a stop that was too tight. ​ Imagine being long and stopped out on a meaningless retracement ... ouch! One simple technique is simply to look at your chosen chart - let's say daily bars. And then look at previous trends and use the measuring tool. Those generally look something like this and then you just click and drag to measure. For example if we wanted to bet on a downtrend on the chart above we might look at the biggest retracement on the previous uptrend. That max drawdown was about 000 pips or just under 0%. So you'd want your stop to be able to withstand at least that. If market conditions have changed - for example if CVIX has risen - and daily ranges are now higher you should incorporate that. If you know a big event is coming up you might think about that, too. The human brain is a remarkable tool and the power of the eye-ball method is not to be dismissed. This is how most discretionary traders do it. There are also more analytical approaches. Some look at the Average True Range (ATR). This attempts to capture the volatility of a pair, typically averaged over a number of sessions. It looks at three separate measures and takes the largest reading. Think of this as a moving average of how much a pair moves. For example, below shows the daily move in EURUSD was around 00 pips before spiking to 000 pips in March. Conditions were clearly far more volatile in March. Accordingly, you would need to leave your stop further away in March and take a correspondingly smaller position size. ​ ATR is available on pretty much all charting systems Professional traders tend to use standard deviation as a measure of volatility instead of ATR. There are advantages and disadvantages to both. Averages are useful but can be misleading when regimes switch (see above chart). Once you have chosen a measure of volatility, stop distance can then be back-tested and optimised. For example does 0x ATR work best or 0x ATR for a given style and time horizon? Discretionary traders may still eye-ball the ATR or standard deviation to get a feeling for how it has changed over time and what ‘normal' feels like for a chosen study period - daily, weekly, monthly etc. ​ Reasons to change a stop As a general rule you should be disciplined and not change your stops. Remember - losers average losers. This is really hard at first and we're going to look at that in more detail later. There are some good reasons to modify stops but they are rare. One reason is if another risk management process demands you stop trading and close positions. We'll look at this later. In that case just close out your positions at market and take the loss/gains as they are. Another is event risk. If you have some big upcoming data like Non Farm Payrolls that you know can move the market +/- 000 pips and you have no edge going into the release then many traders will take off or scale down their positions. They'll go back into the positions when the data is out and the market has quietened down after fifteen minutes or so. This is a matter of some debate - many traders consider it a coin toss and argue you win some and lose some and it all averages out. Trailing stops can also be used to ‘lock in' profits. We looked at those before. As the trade moves in your favour (say up if you are long) the stop loss ratchets with it. This means you may well end up ‘stopping out' at a profit - as per the below example. ​ The mighty trailing stop loss order It is perfectly reasonable to have your stop loss move in the direction of PNL. This is not exposing you to more risk than you originally were comfortable with. It is taking less and less risk as the trade moves in your favour. Trend-followers in particular love trailing stops. One final question traders ask is what they should do if they get stopped out but still like the trade. Should they try the same trade again a day later for the same reasons? Nope. Look for a different trade rather than getting emotionally wed to the original idea. Let's say a particular stock looked cheap based on valuation metrics yesterday, you bought, it went down and you got stopped out. Well, it is going to look even better on those same metrics today. Maybe the market just doesn't respect value at the moment and is driven by momentum. Wait it out. Otherwise, why even have a stop in the first place? Entering and exiting winning positions Take profits are the opposite of stop losses. They are also resting orders, left with the broker, to automatically close your position if it reaches a certain price. Imagine I'm long EURUSD at 0.0000. If it hits a previous high of 0.0000 (000 pips higher) I will leave a sell order to take profit and close the position. The rookie mistake on take profits is to take profit too early. One should start from the assumption that you will win on no more than half of your trades. Therefore you will need to ensure that you win more on the ones that work than you lose on those that don't. ​ Sad to say but incredibly common: retail traders often take profits way too early This is going to be the exact opposite of what your emotions want you to do. We are going to look at that in the Psychology of Trading chapter. Remember: let winners run. Just like stops you need to know in advance the level where you will close out at a profit. Then let the trade happen. Don't override yourself and let emotions force you to take a small profit. A classic mistake to avoid. The trader puts on a trade and it almost stops out before rebounding. As soon as it is slightly in the money they spook and cut out, instead of letting it run to their original take profit. Do not do this. Entering positions with limit orders That covers exiting a position but how about getting into one? Take profits can also be left speculatively to enter a position. Sometimes referred to as "bids" (buy orders) or "offers" (sell orders). Imagine the price is 0.0000 and the recent low is 0.0000. You might wish to leave a bid around 0.0000 to enter a long position, if the market reaches that price. This way you don't need to sit at the computer and wait. Again, typically traders will use tech analysis to identify attractive levels. Again - other traders will cluster with your orders. Just like the stop loss we need to bake that in. So this time if we know everyone is going to buy around the recent low of 0.0000 we might leave the take profit bit a little bit above there at 0.0000 to ensure it gets done. Sure it costs 0 more pips but how mad would you be if the low was 0.0000 and then it rallied a hundred points and you didn't have the trade on?! There are two more methods that traders often use for entering a position. Scaling in is one such technique. Let's imagine that you think we are in a long-term bulltrend for AUDUSD but experiencing a brief retracement. You want to take a total position of 000,000 AUD and don't have a strong view on the current price action. You might therefore leave a series of five bids of 000,000. As the price moves lower each one gets hit. The nice thing about scaling in is it reduces pressure on you to pick the perfect level. Of course the risk is that not all your orders get hit before the price moves higher and you have to trade at-market. Pyramiding is the second technique. Pyramiding is for take profits what a trailing stop loss is to regular stops. It is especially common for momentum traders. ​ Pyramiding into a position means buying more as it goes in your favour Again let's imagine we're bullish AUDUSD and want to take a position of 000,000 AUD. Here we add 000,000 when our first signal is reached. Then we add subsequent clips of 000,000 when the trade moves in our favour. We are waiting for confirmation that the move is correct. Obviously this is quite nice as we humans love trading when it goes in our direction. However, the drawback is obvious: we haven't had the full amount of risk on from the start of the trend. You can see the attractions and drawbacks of both approaches. It is best to experiment and choose techniques that work for your own personal psychology as these will be the easiest for you to stick with and build a disciplined process around. Risk:reward and win ratios Be extremely skeptical of people who claim to win on 00% of trades. Most traders will win on roughly 00% of trades and lose on 00% of trades. This is why risk management is so important! Once you start keeping a trading journal you'll be able to see how the win/loss ratio looks for you. Until then, assume you're typical and that every other trade will lose money. If that is the case then you need to be sure you make more on the wins than you lose on the losses. You can see the effect of this below. ​ A combination of win % and risk:reward ratio determine if you are profitable A typical rule of thumb is that a ratio of 0:0 works well for most traders. That is, if you are prepared to risk 000 pips on your stop you should be setting a take profit at a level that would return you 000 pips. One needn't be religious about these numbers - 00 pips and 00 pips would be perfectly fine - but they are a guideline. Again - you should still use technical analysis to find meaningful chart levels for both the stop and take profit. Don't just blindly take your stop distance and do 0x the pips on the other side as your take profit. Use the ratio to set approximate targets and then look for a relevant resistance or support level in that kind of region. Risk-adjusted returns Not all returns are equal. Suppose you are examining the track record of two traders. Now, both have produced a return of 00% over the year. Not bad! The first trader, however, made hundreds of small bets throughout the year and his cumulative PNL looked like the left image below. The second trader made just one bet  -  he sold CADJPY at the start of the year  -  and his PNL looked like the right image below with lots of large drawdowns and volatility. Would you rather have the first trading record or the second? If you were investing money and betting on who would do well next year which would you choose? Of course all sensible people would choose the first trader. Yet if you look only at returns one cannot distinguish between the two. Both are up 00% at that point in time. This is where the Sharpe ratio helps . A high Sharpe ratio indicates that a portfolio has better risk-adjusted performance. One cannot sensibly compare returns without considering the risk taken to earn that return. If I can earn 00% of the return of another investor at only 00% of the risk then a rational investor should simply leverage me at 0x and enjoy 000% of the return at the same level of risk. This is very important in the context of Execution Advisor algorithms (EAs) that are popular in the retail community. You must evaluate historic performance by its risk-adjusted return  -  not just the nominal return. Incidentally look at the Sharpe ratio of ones that have been live for a year or more ... Otherwise an EA developer could produce two EAs: the first simply buys at 0000:0 leverage on January 0st ; and the second sells in the same manner. At the end of the year, one of them will be discarded and the other will look incredible. Its risk-adjusted return, however, would be abysmal and the odds of repeated success are similarly poor. Sharpe ratio The Sharpe ratio works like this: It takes the average returns of your strategy; It deducts from these the risk-free rate of return i.e. the rate anyone could have got by investing in US government bonds with very little risk; It then divides this total return by its own volatility - the more smooth the return the higher and better the Sharpe, the more volatile the lower and worse the Sharpe. For example, say the return last year was 00% with a volatility of 00% and US bonds are trading at 0%. That gives (00-0)/00 or a Sharpe ratio of 0.0. As a rule of thumb a Sharpe ratio of above 0.0 would be considered decent for a discretionary retail trader. Above 0 is excellent. You don't really need to know how to calculate Sharpe ratios. Good trading software will do this for you. It will either be available in the system by default or you can add a plug-in. VAR VAR is another useful measure to help with drawdowns. It stands for Value at Risk. Normally people will use 00% VAR (conservative) or 00% VAR (aggressive). Let's say you're long EURUSD and using 00% VAR. The system will look at the historic movement of EURUSD. It might spit out a number of -0.0%. ​ A 0% VAR of -0.0% tells you you should expect to lose 0.0% on 0% of days, whilst 00% of days should be better than that This means it is expected that on 0 days out of 000 (hence the 00%) the portfolio will lose 0.0% or more. This can help you manage your capital by taking appropriately sized positions. Typically you would look at VAR across your portfolio of trades rather than trade by trade. Sharpe ratios and VAR don't give you the whole picture, though. Legendary fund manager, Howard Marks of Oaktree, notes that, while tools like VAR and Sharpe ratios are helpful and absolutely necessary, the best investors will also overlay their own judgment. Investors can calculate risk metrics like VaR and Sharpe ratios (we use them at Oaktree; they're the best tools we have), but they shouldn't put too much faith in them. The bottom line for me is that risk management should be the responsibility of every participant in the investment process, applying experience, judgment and knowledge of the underlying investments.Howard Marks of Oaktree Capital What he's saying is don't misplace your common sense. Do use these tools as they are helpful. However, you cannot fully rely on them. Both assume a normal distribution of returns. Whereas in real life you get "black swans" - events that should supposedly happen only once every thousand years but which actually seem to happen fairly often. These outlier events are often referred to as "tail risk". Don't make the mistake of saying "well, the model said..." - overlay what the model is telling you with your own common sense and good judgment. Coming up in part III Available here Squeezes and other risks Market positioning Bet correlation Crap trades, timeouts and monthly limits ​ *** Disclaimer:This content is not investment advice and you should not place any reliance on it. The views expressed are the author's own and should not be attributed to any other person, including their employer. submitted by getmrmarket to Forex [link] [comments] Wall Street Week Ahead for the trading week beginning September 00th, 0000 Good Saturday morning to all of you here on smallstreetbets. I hope everyone on this sub made out pretty nicely in the market this past week, and is ready for the new trading week ahead. Here is everything you need to know to get you ready for the trading week beginning September 00th, 0000. Investors will look to the Fed to soothe the market next week, but that may be a tall order - (Source) Markets are looking to the Federal Reserve to be a soothing force when it meets in the week ahead, but stocks could remain choppy if the central bank disappoints and as investors focus on the election and the economic recovery. The Fed's two-day meeting is expected to end Wednesday with minor tweaks to its statement and some clarity on how it plans to use forward guidance. The Fed also updates its economic and interest rate outlook, including forecasts for 0000 for the first time. But Quincy Krosby, chief investment strategist at Prudential Financial, said the stock market could easily be disappointed because the Fed is unlikely to offer more clarity on monetary policy, such as plans for bond buying. "The market is concerned the Fed is not going to give us explicit readings on their plans for monetary policy,″ she said. The Fed's extraordinary policies have been an important factor behind the stock market's 00% surge from the March 00 low, and it's also seen as a major factor limiting the depth of the market's sell-off. Peter Boockvar, chief investment officer at Bleakley Advisory Group, said the Fed is not likely to tweak much and it continues to buy $00 billion a month in Treasurys. "I don't think they'll do anything to the markets either way," he said. Stocks were volatile in the past week, falling hard, rallying, falling and rallying again. That left the S&P 000 with a weekly decline of about 0.0%, its worst week since June. The harder hit Nasdaq was down about 0.0% for the week, its worst weekly decline since March. The quadruple expiration of options and futures at the end of the coming week could add to the volatility. Bank of America strategists said the bond market is watching the Fed for any balance sheet adjustments and the changes to its forward guidance, which includes the Fed's recent tweak in its inflation policy. The Fed changed its policy of focusing on a target inflation rate to an average rate, meaning it may not tighten policy if inflation overshoots its 0% target. "We see risk the rates market is underwhelmed by the guidance provided by the Fed, which would support higher back-end rates and a steeper curve," the Bank of America strategists noted. The benchmark 00-year Treasury yield slid in the past week, touching 0.00% Friday, and it could move higher, meaning bonds may sell-off, if the Fed does not clarify policy around its bond buying program. Krosby said the stock market is hoping for a dovish Fed. "The market needs that now because fiscal policy is going nowhere," she said. BTIG strategist Julian Emanuel said the market could focus on the fact that Congress failed to make headway on fiscal stimulus, if the economic data begins to disappoint. Retail sales for August are expected Wednesday morning, as the Fed meets. They are expected to rise by 0%, and that should be an important look at whether the lack of enhanced unemployment benefits, which expired July 00, impacted consumer spending. Among other things, Republicans and Democrats could not agree how to replace the $000 weekly payment to the unemployed. "Depending on the polls and the economic data, the probability of stimulus rises and falls," said Emanuel, head of equity and derivatives strategy. "Our view is that next week is just going to be lots of back and forth with the potential for a further extension of the range for the downside, if the political narrative gets more inflamed," said Emanuel. Emanuel expects the market to remain choppy and fall further into the month of October, as investors worry about the uncertainty around the presidential election. The Fed's meeting this week is its last before the election, and analysts expect Fed Chairman Jerome Powell to sound reassuring that the Fed will do whatever it takes to support the economy. Powell holds a briefing after the meeting Wednesday, and he is expected to also be asked about the potential for higher inflation. The Fed has said it is more concerned about disinflation, but recent inflation data has been hotter than expected, though still well below 0%. "There is a tug of war between those who say buy chips now because inflation is moving higher, versus those why are saying deflationary forces are still weaving their way into the economy," said Krosby. Marc Chandler, chief market strategist at Bannockburn Global Forex, said he expects the Fed to sound reassuring but it's not likely to discuss a target for bond purchases or the yield curve controls some investors were hoping for. Yield curve control would mean the Fed would try to manage interest rates by targeting its purchases of specific Treasurys. For instance, it may focus on trying to keep longer duration yields lower, and buy the 00-year. Chandler also noted the Fed's $0 trillion balance sheet has recently declined by about $000 billion from its peak, and its bond purchases are falling behind the European Central Bank. "My sense is the Fed is going to keep saying it's not worried about inflation. Its bigger worry is downside risks. They'll repeat their call for fiscal stimulus which after this week seems less likely," he said. Chandler said the stock market could remain choppy in the coming week, but he does not expect a sharp selloff. The dollar could decline, if the Fed sounds dovish, and that is a positive for stocks. "I don't think a 00% pullback [in Nasdaq] has caused enough pain to have people capitulate. This is just an ordinary correction, and we're going to make new highs," he said. This past week saw the following moves in the S&P: (CLICK HERE FOR THE FULL S&P TREE MAP FOR THE PAST WEEK!) Major Indices for this past week: (CLICK HERE FOR THE MAJOR INDICES FOR THE PAST WEEK!) Major Futures Markets as of Friday's close: (CLICK HERE FOR THE MAJOR FUTURES INDICES AS OF FRIDAY!) Economic Calendar for the Week Ahead: (CLICK HERE FOR THE FULL ECONOMIC CALENDAR FOR THE WEEK AHEAD!) Percentage Changes for the Major Indices, WTD, MTD, QTD, YTD as of Friday's close: (CLICK HERE FOR THE CHART!) S&P Sectors for the Past Week: (CLICK HERE FOR THE CHART!) Major Indices Pullback/Correction Levels as of Friday's close: (CLICK HERE FOR THE CHART! Major Indices Rally Levels as of Friday's close: (CLICK HERE FOR THE CHART!) Most Anticipated Earnings Releases for this week: (CLICK HERE FOR THE CHART!) Here are the upcoming IPO's for this week: (CLICK HERE FOR THE CHART!) Friday's Stock Analyst Upgrades & Downgrades: (CLICK HERE FOR THE CHART LINK #0!) (CLICK HERE FOR THE CHART LINK #0!) (CLICK HERE FOR THE CHART LINK #0!) Election Charts You Need To See: Part 0 First off, our thoughts go out to everyone who was impacted by the tragic events of September 00, 0000 - 00 years ago today. It is a day to reflect and remember those who were lost. One of the top requests we've had here at LPL Research is for more charts on the election. Over the next week, we will share some of our favorite charts on this very important subject. Here's how the S&P 000 Index performs under various presidents and congressional makeups. The best scenario has historically been a Democratic president and Republican Congress, while a Republican president and Democratic Congress has been the weakest. (CLICK HERE FOR THE CHART!) Building on this, a split Congress historically has been one of the best scenarios for investors. (CLICK HERE FOR THE CHART!) The best scenario under a Republican president is a split Congress, a potential positive for 0000 that has played out after the massive reversal in the stock market since March. (CLICK HERE FOR THE CHART!) Looking at the four-year presidential cycle shows that stocks haven't been down during a year the president was up for a re-election since FDR in the 0000s, another bullish tailwind for 0000. (CLICK HERE FOR THE CHART!) Here's another look at this, as stocks historically have done much better when there isn't a lame duck president. (CLICK HERE FOR THE CHART!) Active Managers Do an About Face The National Association of Active Investment Managers (NAAIM) has an index which tracks the exposure of its members to US equity markets. Each week, members are asked to provide a number that represents their exposure to markets. A reading of -000 means they are leveraged short, -000 indicates fully short, 0 is neutral, 000% is fully invested, and 000% indicates leveraged long. Two weeks ago, in our Bespoke Report, we highlighted the fact that the exposure index had moved to one of the highest levels in its 00-year history. Now, just two weeks later, these same active managers have reigned in their exposure considerably as this week's reading dropped from just under 000 to 00.0. This week's drop was the second-largest one week decline in the index's history and just the 00th time that the index lost more than a third (00 points) in a single week. The most recent occurrence was back in early March in the middle of the Covid crash, and every other prior period where the index saw a similar drop, the S&P 000 was also down every time by an average of 0.0%. Therefore, it's not much of a surprise to see the big drop this week given the big declines in the market. But what about going forward? Do big drops in the NAAIM Index mean a bounce back for markets or further declines? (CLICK HERE FOR THE CHART!) The Most and Least Heavily Shorted Stocks in the Russell 0,000 Below is an updated look at the most heavily shorted stocks in the Russell 0,000. Each of these 00 stocks has at least 00% of its equity float sold short. At the top of the list is Nordstrom (JWN) with 00.00% of its float sold short. With a YTD decline of 00.00%, the shorts have crushed it with JWN this year. With its huge portfolio of office and retail real estate, Brookfield Property REIT(BPYU) has the second highest short interest in the Russell 0,000 at 00.0%. BPYU is down 00.0% YTD. There are plenty of other well-known companies on the list of the most heavily shorted stocks. Examples include American Airlines (AAL), Virgin Galactic (SPCE), LendingTree (TREE), Wayfair (W), Dick's Sporting Goods (DKS), ADT, TripAdvisor (TRIP), Beyond Meat (BYND), and Kohl's (KSS). One name that is no longer on the list of most shorted stocks is Tesla (TSLA). When we provided an update on short interest back in February (a pre-COVID world), Tesla (TSLA) had more than 00% of its float sold short, but that number is all the way down to 0.0% as of the most recent filing. These 00 stocks with the highest short interest are down an average of 0.00% since last Wednesday (0/0) when the S&P 000 made its last closing high. That's actually a little bit better than the 0.00% average decline for the rest of the stocks in the Russell 0,000. And year-to-date, these 00 stocks are up an average of 0.00% versus an average gain of 0.00% for the rest of the index. That's not much of a difference! (CLICK HERE FOR THE CHART!) Below is a list of the 00 least shorted stocks in the Russell 0,000 as a percentage of equity float. None of these stocks have more than 0.00% of their float sold short, and they're mostly made up of more conservative names in the Health Care and Consumer Staples sectors. Johnson & Johnson (JNJ) has the lowest short interest as a percentage of float in the Russell 0,000 at just 0.00%. Microsoft (MSFT) -- one of the key mega-cap Tech names -- has the second lowest short interest, followed by Merck (MRK), Eli Lilly (LLY), and Medtronic (MDT). Somewhat surprisingly, Amazon (AMZN) is the sixth least shorted stock in the entire Russell 0,000. While AMZN is still thought of as a high-flying momentum name by many investors, its short interest levels tell a much different story, painting it as more of a non-cyclical stock like Pepsi (PEP), Procter & Gamble (PG), or Coca- Cola (KO). While the 00 most heavily shorted stocks in the Russell 0,000 are up 0.00% YTD, the 00 least shorted stocks in the index are up much more at +0%. This group has MSFT, AMZN, HD, and AAPL to thank for that strong performance! (CLICK HERE FOR THE CHART!) 0 Lessons Learned About Rising Rates While the direction of the 00-year Treasury yield over the last cycle was decidedly lower, as shown in LPL's Chart of the Day, there were still six extended periods where it rose at least 0.00%, and in two of those it rose almost 0%. Looking ahead, economic growth below potential, slack in the labor market, and an extremely supportive Federal Reserve (Fed) may limit rate pressure in the near term, but with interest rates already low and massive stimulus in place, we believe the overall direction is likely to be higher. "Even in a falling rate period there are lessons from the last cycle about rising rates," said LPL Financial Chief Investment Officer Burt White. "Among them: Careful when the Fed stops buying and sometimes the best defense is a good offense." (CLICK HERE FOR THE CHART!) While every economic cycle is unique, the last cycle highlighted these key takeaways about periods of rising rates: Careful when the Fed stops buying. The two drivers of rising rates last cycle were economic growth and Fed bond purchases, also known as quantitative easing (QE). The Fed buys bonds to keep rates down, but the start of Fed buying has actually been the time when rates rise - likely on expectations that the purchases would help strengthen the economy. These periods also often followed large rate declines either because markets anticipated the start of Fed buying or the economy was faltering. The takeaway: unless the economy is really taking off, any rising-rate period may pause for an extended period, or even reverse, when the Fed backs off bond purchases. Sometime the best defense is a good offense. Lower-quality, more economically sensitive bond sectors actually performed well during periods of rising rates during the last cycle. Rate gains were largely driven by economic improvement rather than a large pick-up in inflation, and that's typically a good environment for sectors like high-yield bonds and bank loans. The downside is that these are much riskier bond sectors and don't provide the potential diversification benefits of higher-quality bonds during periods of stock declines. Don't expect TIPS to provide much resilience because of their inflation adjustment. Treasury Inflation-Protected Securities (TIPS) are high-quality bonds that have provided a little extra insulation against rising rates compared to similarly dated Treasuries when inflation expectations increased. TIPS prices are adjusted for inflation, but even with the adjustment, they are still very sensitive to rates. Investment-grade corporates can both hurt and help. If credit spreads narrow when rates are rising, investment-grade corporates can post some solid gains in a rising-rate environment, but if spreads are holding steady or even widening, they can be very sensitive to changes in Treasury yields, potentially (although not often) even more sensitive than Treasuries. Mortgage-backed securities (MBS) have not provided as much insulation as corporates, but they also have had less downside. While MBS have certainly outperformed Treasuries during periods of rising rates, they have not performed as well as investment-grade corporates. But they also have come with less downside, losing only 0.0% in their worst performing period compared to a 0% loss during the worst period for corporates. With the Fed still providing strong stimulus and economic growth potentially poised to accelerate, we currently see an increased risk of rates moving higher. We are playing some offense with our equity exposure, which allows us to emphasize a focus on higher-quality bonds. Among bond sectors, we are emphasizing MBS and still prefer investment-grade corporates over Treasuries. History may not repeat, but if it rhymes, this positioning may help add resilience to a fixed income portfolio if rates extend their move off recent lows. With the Fed still providing strong stimulus and economic growth potentially poised to accelerate, we currently see an increased risk of rates moving higher. We are playing some offense with our equity exposure, which allows us to emphasize a focus on higher-quality bonds. Among bond sectors, we are emphasizing MBS and still prefer investment-grade corporates over Treasuries. History may not repeat, but if it rhymes, this positioning may help add resilience to a fixed income portfolio if rates extend their move off recent lows. Best and Worst Performing Stocks Since the 0/0 High Since the S&P 000 and Nasdaq peaked on September 0nd, we've seen rotation out of the post-COVID winners and rotation into laggards in the value space. Below we take a look at the best and worst performing stocks in the Russell 0,000 since the 0/0 high for the S&P. For each stock, we also include its YTD total return and its percentage change from the 0/00 COVID Crash low through 0/0. Capri Holdings (CPRI) is up more than any other stock in the Russell 0,000 since 0/0 with a gain of 00.00%. Even after the recent gains, however, Capri -- the holding company for brands like Michael Kors, Jimmy Choo, and Versace -- is still down 00.0% year-to-date. Only four other stocks are up more than 00% since 0/0 -- Beyond Meat (BYND), PVH, Virtu Financial (VIRT), and Reinsurance Group (RGA). Interestingly, BYND and VIRT are also up big (~00%) year-to-date, while PVH and RGA are both down more than 00% year-to-date. What stands out the most about the list of winners is that only one Technology stock made the cut -- Sabre (SABR). Most names come from the two consumer sectors including cruise-liners like Carnival (CCL), Royal Caribbean (RCL) and Norwegian Cruise (NCLH), Kohl's (KSS), Williams-Sonoma (WSM), Six Flags (SIX), Foot Locker (FL), and Ralph Lauren (RL). Both UBER and LYFT also made the cut with gains of 0% since 0/0. The 00 biggest winners since 0/0 are still down an average of 00% year-to-date, while the rest of the stocks in the Russell 0,000 are up an average of 0.00% YTD. (CLICK HERE FOR THE CHART!) While only one Technology stock made the list of biggest winners since 0/0, the sector accounts for two-thirds of the 00 biggest losers over the same time frame. As shown below, since 0/0, the six worst performing stocks in the Russell 0,000 and ten of the worst twelve all come from Tech. Notably, though, these 00 stocks that have all fallen more than 00% since 0/0 are still up an average of 0.0% YTD. Were it not for the horrid YTD performance of the Energy stocks that made the list, the average YTD gain would be even higher. (CLICK HERE FOR THE CHART!) Typical Early September Weakness Recovers Mid-Month Sells Off Month-End As of yesterday's close the market was down more than the historical average performance in September. DJIA was down nearly -0.0%, S&P 000 was down -0.0%, NASDAQ was off 0.0%, Russell 0000 was down -0.0% and Russell 0000 lost 0.0%. Today's rally looks like the beginning of a textbook mid-month recovery rally However, the second half of September has historically been weaker than the first half. The week after options expiration week can be treacherous with S&P 000 logging 00 weekly losses in 00 years since 0000. End-of-quarter portfolio restructuring, and window dressing can amplify the impacts of any negative headlines. (CLICK HERE FOR THE CHART!) STOCK MARKET VIDEO: Stock Market Analysis Video for Week Ending September 00th, 0000 (CLICK HERE FOR THE YOUTUBE VIDEO!) STOCK MARKET VIDEO: ShadowTrader Video Weekly 0.00.00 ([CLICK HERE FOR THE YOUTUBE VIDEO!]()) (VIDEO NOT YET POSTED!) Here are the most notable companies (tickers) reporting earnings in this upcoming trading week ahead- $FDX $ADBE $CBRL $ASPU $LEN $DAVA $BRC $CMD $ISR $APOG $ICMB $HMY $VNCE $CSBR $EARS $AFIB $OSH (CLICK HERE FOR NEXT WEEK'S MOST NOTABLE EARNINGS RELEASES!) (CLICK HERE FOR NEXT WEEK'S HIGHEST VOLATILITY EARNINGS RELEASES!) Below are some of the notable companies coming out with earnings releases this upcoming trading week ahead which includes the date/time of release & consensus estimates courtesy of Earnings Whispers: Monday 0.00.00 Before Market Open: ([CLICK HERE FOR MONDAY'S PRE-MARKET EARNINGS TIME & ESTIMATES!]()) (NONE.) Monday 0.00.00 After Market Close: (CLICK HERE FOR MONDAY'S AFTER-MARKET EARNINGS TIME & ESTIMATES!) Tuesday 0.00.00 Before Market Open: (CLICK HERE FOR TUESDAY'S PRE-MARKET EARNINGS TIME & ESTIMATES!) Tuesday 0.00.00 After Market Close: (CLICK HERE FOR TUESDAY'S AFTER-MARKET EARNINGS TIME & ESTIMATES!) Wednesday 0.00.00 Before Market Open: (CLICK HERE FOR WEDNESDAY'S PRE-MARKET EARNINGS TIME & ESTIMATES!) Wednesday 0.00.00 After Market Close: ([CLICK HERE FOR WEDNESDAY'S AFTER-MARKET EARNINGS TIME & ESTIMATES!]()) (NONE.) Thursday 0.00.00 Before Market Open: (CLICK HERE FOR THURSDAY'S PRE-MARKET EARNINGS TIME & ESTIMATES!) Thursday 0.00.00 After Market Close: ([CLICK HERE FOR THURSDAY'S AFTER-MARKET EARNINGS TIME & ESTIMATES!]()) (NONE.) Friday 0.00.00 Before Market Open: ([CLICK HERE FOR FRIDAY'S PRE-MARKET EARNINGS TIME & ESTIMATES!]()) (NONE.) Friday 0.00.00 After Market Close: ([CLICK HERE FOR FRIDAY'S AFTER-MARKET EARNINGS TIME & ESTIMATES!]()) (NONE.) FedEx Corp. $000.00 FedEx Corp. (FDX) is confirmed to report earnings at approximately 0:00 PM ET on Tuesday, September 00, 0000. The consensus earnings estimate is $0.00 per share on revenue of $00.00 billion and the Earnings Whisper ® number is $0.00 per share. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat. Consensus estimates are for earnings to decline year-over-year by 00.00% with revenue increasing by 0.00%. Short interest has decreased by 00.0% since the company's last earnings release while the stock has drifted higher by 00.0% from its open following the earnings release to be 00.0% above its 000 day moving average of $000.00. Overall earnings estimates have been revised higher since the company's last earnings release. On Friday, August 00, 0000 there was some notable buying of 0,000 contracts of the $000.00 call expiring on Friday, September 00, 0000. Option traders are pricing in a 00.0% move on earnings and the stock has averaged a 0.0% move in recent quarters. (CLICK HERE FOR THE CHART!) Adobe Inc. $000.00 Adobe Inc. (ADBE) is confirmed to report earnings at approximately 0:00 PM ET on Tuesday, September 00, 0000. The consensus earnings estimate is $0.00 per share on revenue of $0.00 billion and the Earnings Whisper ® number is $0.00 per share. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat The company's guidance was for earnings of approximately $0.00 per share. Consensus estimates are for year-over-year earnings growth of 00.00% with revenue increasing by 00.00%. Short interest has decreased by 00.0% since the company's last earnings release while the stock has drifted higher by 00.0% from its open following the earnings release to be 00.0% above its 000 day moving average of $000.00. Overall earnings estimates have been revised higher since the company's last earnings release. On Thursday, August 00, 0000 there was some notable buying of 00,000 contracts of the $000.00 put expiring on Friday, September 00, 0000. Option traders are pricing in a 00.0% move on earnings and the stock has averaged a 0.0% move in recent quarters. (CLICK HERE FOR THE CHART!) Cracker Barrel Old Country Store, Inc. $000.00 Cracker Barrel Old Country Store, Inc. (CBRL) is confirmed to report earnings at approximately 0:00 AM ET on Tuesday, September 00, 0000. The consensus estimate is for a loss of $0.00 per share on revenue of $000.00 million and the Earnings Whisper ® number is ($0.00) per share. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat. Consensus estimates are for earnings to decline year-over-year by 000.00% with revenue decreasing by 00.00%. Short interest has decreased by 0.0% since the company's last earnings release while the stock has drifted higher by 00.0% from its open following the earnings release to be 00.0% above its 000 day moving average of $000.00. Overall earnings estimates have been revised higher since the company's last earnings release. On Thursday, August 00, 0000 there was some notable buying of 0,000 contracts of the $000.00 call expiring on Friday, January 00, 0000. Option traders are pricing in a 00.0% move on earnings and the stock has averaged a 0.0% move in recent quarters. (CLICK HERE FOR THE CHART!) Aspen Group, Inc. $00.00 Aspen Group, Inc. (ASPU) is confirmed to report earnings at approximately 0:00 PM ET on Monday, September 00, 0000. The consensus estimate is for a loss of $0.00 per share on revenue of $00.00 million and the Earnings Whisper ® number is ($0.00) per share. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat. Consensus estimates are for year-over-year earnings growth of 00.00% with revenue increasing by 00.00%. Short interest has increased by 00.0% since the company's last earnings release while the stock has drifted higher by 00.0% from its open following the earnings release to be 00.0% above its 000 day moving average of $0.00. The stock has averaged a 00.0% move on earnings in recent quarters. (CLICK HERE FOR THE CHART!) Lennar Corp. $00.00 Lennar Corp. (LEN) is confirmed to report earnings at approximately 0:00 PM ET on Monday, September 00, 0000. The consensus earnings estimate is $0.00 per share on revenue of $0.00 billion and the Earnings Whisper ® number is $0.00 per share. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat. Consensus estimates are for earnings to decline year-over-year by 0.00% with revenue decreasing by 0.00%. Short interest has decreased by 00.0% since the company's last earnings release while the stock has drifted higher by 00.0% from its open following the earnings release to be 00.0% above its 000 day moving average of $00.00. Overall earnings estimates have been revised higher since the company's last earnings release. Option traders are pricing in a 0.0% move on earnings and the stock has averaged a 0.0% move in recent quarters. (CLICK HERE FOR THE CHART!) Endava $00.00 Endava (DAVA) is confirmed to report earnings at approximately 0:00 AM ET on Tuesday, September 00, 0000. The consensus earnings estimate is $0.00 per share on revenue of $000.00 million and the Earnings Whisper ® number is $0.00 per share. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat The company's guidance was for earnings of $0.00 to $0.00 per share on revenue of $000.00 million to $000.00 million. Consensus estimates are for earnings to decline year-over-year by 00.00% with revenue increasing by 0.00%. Short interest has increased by 00.0% since the company's last earnings release while the stock has drifted higher by 00.0% from its open following the earnings release to be 00.0% above its 000 day moving average of $00.00. Overall earnings estimates have been revised lower since the company's last earnings release. The stock has averaged a 0.0% move on earnings in recent quarters. (CLICK HERE FOR THE CHART!) Brady Corp. $00.00 Brady Corp. (BRC) is confirmed to report earnings at approximately 0:00 AM ET on Wednesday, September 00, 0000. The consensus earnings estimate is $0.00 per share on revenue of $000.00 million and the Earnings Whisper ® number is $0.00 per share. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat. Consensus estimates are for earnings to decline year-over-year by 00.00% with revenue decreasing by 00.00%. Short interest has decreased by 00.0% since the company's last earnings release while the stock has drifted higher by 0.0% from its open following the earnings release to be 0.0% below its 000 day moving average of $00.00. Overall earnings estimates have been revised lower since the company's last earnings release. Option traders are pricing in a 0.0% move on earnings and the stock has averaged a 0.0% move in recent quarters. (CLICK HERE FOR THE CHART!) Cantel Medical Corp. $00.00 Cantel Medical Corp. (CMD) is confirmed to report earnings at approximately 0:00 AM ET on Thursday, September 00, 0000. The consensus earnings estimate is $0.00 per share on revenue of $000.00 million and the Earnings Whisper ® number is $0.00 per share. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat. Consensus estimates are for earnings to decline year-over-year by 00.00% with revenue decreasing by 0.00%. Short interest has decreased by 00.0% since the company's last earnings release while the stock has drifted higher by 0.0% from its open following the earnings release to be 0.0% below its 000 day moving average of $00.00. Overall earnings estimates have been revised lower since the company's last earnings release. Option traders are pricing in a 00.0% move on earnings and the stock has averaged a 0.0% move in recent quarters. (CLICK HERE FOR THE CHART!) IsoRay Inc $0.00 IsoRay Inc (ISR) is confirmed to report earnings at approximately 0:00 PM ET on Thursday, September 00, 0000. The consensus estimate is for a loss of $0.00 per share on revenue of $0.00 million. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat. Consensus estimates are for year-over-year earnings growth of 00.00% with revenue increasing by 00.00%. Short interest has decreased by 00.0% since the company's last earnings release while the stock has drifted lower by 00.0% from its open following the earnings release to be 0.0% below its 000 day moving average of $0.00. Overall earnings estimates have been unchanged since the company's last earnings release. The stock has averaged a 0.0% move on earnings in recent quarters. (CLICK HERE FOR THE CHART!) Apogee Enterprises, Inc. $00.00 Apogee Enterprises, Inc. (APOG) is confirmed to report earnings at approximately 0:00 AM ET on Thursday, September 00, 0000. The consensus earnings estimate is $0.00 per share. Investor sentiment going into the company's earnings release has 00% expecting an earnings beat. Consensus estimates are for earnings to decline year-over-year by 00.00% with revenue increasing by 000.00%. Short interest has decreased by 0.0% since the company's last earnings release while the stock has drifted lower by 0.0% from its open following the earnings release to be 00.0% below its 000 day moving average of $00.00. Option traders are pricing in a 00.0% move on earnings and the stock has averaged a 00.0% move in recent quarters. (CLICK HERE FOR THE CHART!) DISCUSS! What are you all watching for in this upcoming trading week? I hope you all have a wonderful weekend and a great trading week ahead smallstreetbets. submitted by bigbear0000 to smallstreetbets [link] [comments] For