skippa @skippa@social.cleverlibre.org

While my wheeler bot is happily sitting on a real PLTR put, I'm playing with neural networks to predict SPY.

Playing with PyMC3 over the weekend. Fitting stochastic volatility to SPX. The goal is to build HMM regime shifting model.

I have focused on moving my trading infrastructure to the server and on making it run reliably. In the process I have implemented IBKR->Prometheus data watcher that gives me data recording for free. Building Grafana dashboards is fun.

Debt denial https://johnhcochrane.blogspot.com/2020/12/debt-denial.html

These were charts for SPX, UNG and QQQ 2020-DEC-18 chains

Trying to compute total market gamma profile. First step is market gamma for a single chain. Results of this morning's session. Mostly spent wrangling chart component.

This is how my scanner view looks today. Selling vol in high IVP is my current strategy.

Before switching to JavaFX tooling with Akka on backend, I had this Spring-based paper-trading bot running for a while. Old screenshot of its status page.