Expecting a lot of counter-intuitive price action next 12 months.
Not sure who will come out on top of this in terms of P&L ...
so it seems nobody is making money really without forecasting skill.
Not sure who will come out on top of this in terms of P&L ...
- market makers: are sitting out (nobody lending)
- long-only: will be down more from forced selling on next new lows
- trend-followers: will get whipsawed as there are no easy trends but volatility is high
- short-only: not sure if anybody does this but will get squeezed if picking entries to early
- opportunistic: has potential, no bias just waits for price to go where
nobody expects and fades it, but trade frequency low (think 2 trades / year)
- selling premium: low return if hedged, nobody lending (as with market makers)
- basis / cash & carry: basis / funding is low these days, might pick up
from demand for margin leverage, but doubt it
so it seems nobody is making money really without forecasting skill.
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I estimate 10% risk from position entry to exit price for $1-10 billion size, calculated based on these adverse scenarios. Adjusting for slippage from higher size with wider selling range which doesn't affect delta b/w entry/exit due to trailing as demonstrated below
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30 days idea for $1-10bn size: I would top-bid long (zero fee) while price >$18k and rises $1k/week. Would sell if price is sub $20k in 2 weeks or if breaking $18k. Potential profit $400m - $4bn depending on how much will get filled. ~4:1 risk-reward ...
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