Options, Stocks, Machines on Substack

Options, Stocks, Machines on Substack

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HFW 20: High Performance Auto
Applying AutoETS to our S&P revenue dataset lowers error rates by 2% points to a new low!
BOTW 16: Oil vs. Oil
Pairs trading big oil companies Exxon or Chevron vs. oil significantly outperforms XLE and the S&P.
HFW 19: Automate ETS
AutoETS improves forecasts meaningfully vs. ETS on Apple
BOTW 15: Eyeing Private Credit
We take a stab at isolating investable private credit returns. Takeaway: they outperform the market, but not private equity stocks.
HFW 18: Adding the E to ETS
Adding an error term to our exponential smoothing trend and seasonality models produces modestly better performance than without the term
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May 2025

BOTW 14: Systematic Factors
A long/short portfolio created by ranking factor ETFs using rolling Sharpe Ratios beats the market.
HFW 17: Smooth Trends
Exponential smoothing with trend and seasonality performs as well as simple smoothing but with more realistic forecast graphs
BOTW 13: Doggie Deux
Using deciles instead of a top 10 ranking improves our Aristocratic Dog strategy by 10 percentage points.
HFW 16: Smooth Exponentialer
Simple exponential smoothing yields the best performance thus far
BOTW 12: Aristocratic Dogs
Applying the Dogs of the Dow methodology to Dividend Aristocrats yields significant outperformance relative to the benchmark
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HFW 15: Trend Interlude
We switch to trend forecasting models which perform almost as well as the benchmarks and easily explainable too

April 2025

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