(Last updated on 1 Feb 2021)
- What the heck is this all about?
Check out our little introduction
And don't miss our additional help-related posts - What do I get as a subscriber?
Subscribers receive a daily DGM model prediction, along with underlying DIX/GEX data, and various statistics - When is the update published?
The update is published every US trading day after market close, between around 5:30-6:00 PM EST. This depends on the availability of the DIX/GEX data, plus the time required for DGM processing - What does the update contain?
Every update contains three sections: latest data and model prediction, backtest statistics, and recent prediction history. See below for details - How is the model built?
The model is built (re-trained) with every update using historical DIX/GEX and pricing data in an extensive optimization and selection process (brute-force Monte Carlo optimization). The actual prediction optimizations are tested against the past 25/50/100/200 trading days and never use forward-looking data - How is the model performance measured?
The simulated model performance (return and success rate) is measured close-to-close (S&P 500 closing price, one day to the next). Statistics are measured separately for long, short, and long/short strategies, over different timeframes (past 25/50/100/200 trading days) - How can I use this?
(Note: We are not offering any investment advice. Usage is strictly at your own risk)
While the statistics (model success rate) give a gauge of the predictive value, the data can be used in a variety of ways. For example, on a bullish prediction a trader could choose to simply add to an already bullish exposure. Vice-versa, a prediction could be used as a limited counter-trade to hedge an existing position. Traders can use the statistics to decide on the level of risk they are willing to assume.
A trader looking to exploit the next day move prediction would enter the trade after hours and exit the following day (on market close, or at the time of their choosing). A trader could choose to trade long-only or, more aggressively, long/short or short-only.
Explore some sample trades - Is there a roadmap?
(Yes, coming soon) - I have further questions, what do I do?
Have a look at some additional help-related posts
Contact us!
Annotated sample update
Each update contains three sections:
- Latest daily data and prediction for the subsequent day
- Backtest return and simulated success rate for the recent history
- Recent history backtest details (mostly for eyeballing)
Let's use dgm update - 16 nov 2020 as an example
Latest data and prediction
This section shows the latest DIX/GEX values and the computed DGM score. A positive score is considered bullish, a negative one bearish.
In order to help gauge the strength of the values, the section also shows the corresponding 200-day percentiles. (Below, the score of -4.64 was one of the lowest 22% of scores in the preceding 200 day period)
| dgm-0.5 | 2020-11-16 | ||||
|---|---|---|---|---|
| - | price | dix | gex | score |
| value | pctile | 3626.91 | 0.414971 | p32.50 | 5568672439.80 | p77.50 | -4.64 | p22.00 |
| not investment advice - use at own risk - see terms - data by squeezemetrics | ||||
Backtest return and success rate
This section shows the simulated model performance, along with market performance (buy & hold) for the past 25/50/100/200 trading days.
The model performance (return and success rate) is measured close-to-close (S&P 500 closing price, one day to the next), based on the mechanical strategy of going long on positive score, short on negative score. Statistics are calculated separately for long, short, and combined long/short trades.
| dgm-0.5 | 2020-11-16 | backtest return | success rate | ||||||
|---|---|---|---|---|---|---|
| days | metric | long | short | long/short | ||
| 25 | market | 92.69 | 52.00% (13/25) | - | 92.69 | 52.00% (13/25) | ||
| 25 | score | 146.35 | 66.67% (6/9) | 53.66 | 56.25% (9/16) | 200.01 | 60.00% (15/25) | ||
| 50 | market | 199.95 | 56.00% (28/50) | - | 199.95 | 56.00% (28/50) | ||
| 50 | score | 325.92 | 66.67% (14/21) | 125.97 | 51.72% (15/29) | 451.89 | 58.00% (29/50) | ||
| 100 | market | 543.15 | 62.00% (62/100) | - | 543.15 | 62.00% (62/100) | ||
| 100 | score | 775.26 | 73.58% (39/53) | 232.11 | 51.06% (24/47) | 1007.37 | 63.00% (63/100) | ||
| 200 | market | 377.99 | 58.00% (116/200) | - | 377.99 | 58.00% (116/200) | ||
| 200 | score | 1480.31 | 68.10% (79/116) | 1102.32 | 55.95% (47/84) | 2582.63 | 63.00% (126/200) | ||
| not investment advice - use at own risk - see terms | ||||||
Recent history backtest
This section is more for visual reference. It shows the recent history of DIX/GEX values, corresponding DGM score, and the subsequent day's move. Although this section shows only the most recent 25 trading days, note that model predictions are computed for a 200 day period.
| dgm-0.5 | 2020-11-16 | backtest | ||||||
|---|---|---|---|---|---|---|
| # | date | price | dix | gex | score | move |
| 200 | 2020-11-16 | 3626.91 | 0.414971 | 5568672439.80 | -4.64 | - |
| 199 | 2020-11-13 | 3585.15 | 0.431061 | 6032392988.78 | -3.85 | 41.76 |
| 198 | 2020-11-12 | 3537.01 | 0.449155 | 4706756829.15 | 11.90 | 48.14 |
| 197 | 2020-11-11 | 3572.66 | 0.398529 | 5991548647.28 | -2.41 | -35.65 |
| 196 | 2020-11-10 | 3545.53 | 0.399241 | 2876030927.36 | -0.76 | 27.13 |
| 195 | 2020-11-09 | 3550.50 | 0.379178 | 3868072512.47 | -9.79 | -4.97 |
| 194 | 2020-11-06 | 3509.44 | 0.416941 | 4715264679.74 | 2.68 | 41.06 |
| 193 | 2020-11-05 | 3510.45 | 0.423485 | 10299618466.89 | -1.63 | -1.01 |
| 192 | 2020-11-04 | 3443.43 | 0.395382 | 7031418413.00 | -10.06 | 67.02 |
| 191 | 2020-11-03 | 3369.16 | 0.411049 | 1148540385.69 | -14.52 | 74.27 |
| 190 | 2020-11-02 | 3310.24 | 0.400921 | -180393838.71 | -13.63 | 58.92 |
| 189 | 2020-10-30 | 3269.96 | 0.435696 | -78315991.44 | 4.91 | 40.28 |
| 188 | 2020-10-29 | 3310.11 | 0.418546 | 238673808.80 | -11.37 | -40.15 |
| 187 | 2020-10-28 | 3271.03 | 0.402697 | -1257767671.97 | 15.91 | 39.08 |
| 186 | 2020-10-27 | 3390.68 | 0.410421 | 1772712889.76 | -0.28 | -119.65 |
| 185 | 2020-10-26 | 3400.97 | 0.402950 | 1252594353.35 | 8.81 | -10.29 |
| 184 | 2020-10-23 | 3465.39 | 0.408917 | 2051710146.97 | -4.38 | -64.42 |
| 183 | 2020-10-22 | 3453.49 | 0.404691 | 1919485629.15 | -6.06 | 11.90 |
| 182 | 2020-10-21 | 3435.55 | 0.399035 | 2532500561.95 | -0.64 | 17.94 |
| 181 | 2020-10-20 | 3443.12 | 0.410682 | 1919650383.38 | -5.23 | -7.57 |
| 180 | 2020-10-19 | 3426.92 | 0.404272 | 1779103505.77 | 8.21 | 16.20 |
| 179 | 2020-10-16 | 3483.81 | 0.411402 | 3113195433.03 | -0.41 | -56.89 |
| 178 | 2020-10-15 | 3483.34 | 0.388903 | 10450888042.28 | 9.88 | 0.47 |
| 177 | 2020-10-14 | 3488.67 | 0.387860 | 9657031320.76 | 12.07 | -5.33 |
| 176 | 2020-10-13 | 3511.93 | 0.405844 | 15345566294.28 | 21.78 | -23.26 |
| 175 | 2020-10-12 | 3534.22 | 0.366112 | 11402665926.06 | -2.66 | -22.29 |
| not investment advice - use at own risk - see terms - data by squeezemetrics | ||||||