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Tried to run a valuation estimate with COT positions and storage, using neural networks. The output came out still close to the earlier estimates, around high 3's for the next couple of months. It feels too low, even if the coming HDD turns out about where expectations lie.
Does anyone have any idea why the quantitative approach is likely off, or wrong by so much? I'll take any suggestions regarding how to adjust this for improved accuracy. thanks.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
NatGas Margins going up AGAIN!
NG Margin increase effective COB September 14th, 2021
Maintenance margin's increasing as follows (Note: Non-member initial margin rates will be 110% of these)
Tier 1 / Oct21 from $4100 to $4300 +$200
Tier 2 / Nov21 from $4050 to $4300 +$250
Tier 3-4 / Dec21 & Jan22 from $3950 to $4300 +$350
Tier 5 / Feb22 from $3850 to $4275 +$425
Tier 6 / Mar22 from $3550 to $3700 +$150
Tier 7 / Apr22 from $1800 to $1950 +$150
Tier 8 / May22 from $1500 to $1600 +$100
Tier 9-13 / Jun22-Oct22 from $1400 to $1500 +$100
Tier 14-18 / Nov22-Mar23 from $1300 to $1450 +$150
all others unchanged.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
Ever think about making the data you used downloadable on your substack page?
Comments
Nobody should take Neural Network advice from me, as I have a very high failure rate on using them. I always find that changing the initial seed completely changes my results which obviously means my model isn't stable or predictive.
Not sure the value of OI, especially if you are only looking at NYMEX NG and not including ICE HNG. Also I think you will find OI is seasonal.
With the EIA data are you looking at outright levels or change vs say 5 year average. Outright levels are highly seasonal. Change vs 5 year gives a better quick summary of fundamentals. Obviously if you have month (or even week) as a variable then a good ML model should identify this relationship but it could be a better feature. At a minimum include actual data and 5 year average data and let the model imply the change the difference.
Price vs Oil. This is becoming a lot more prevalent now but several years ago was irrelevant. One of the reasons US gas inventories are low is because of the amount of LNG we are exporting. Doesn't matter that US prices are at multi year highs/$5-6 when international prices are at $20. Exports will happen as fast as they can load the vessels. This definitely WASN'T the case historically.
Finally your charts all show the last 2-4 years. The US has been in over supply situation during this period. If you look back say 10-15 years, when the US was in a supply deficiet you will see extremely different price relationships. Given the fundamental difference this year, maybe the last 2-4 years aren't the best to train data on.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
Sorry this one is a few days late. Was out of town end of last week.
Yes NatGas Margins going up AGAIN!
NG Margin increase effective COB September 17th, 2021
Maintenance margin's increasing as follows (Note: Non-member initial margin rates will be 110% of these)
Tier 1-4 / Oct21-Jan22 from $4300 to $4800 +$500
Tier 5 / Feb22 from $4275 to $4800 +$525
Tier 6 / Mar22 from $3700 to $4200 +$500
Tier 7 / Apr22 from $1950 to $2150 +$200
Tier 8 / May22 from $1600 to $1750 +$150
Tier 9-13 / Jun22-Oct22 from $1500 to $1650 +$150
Tier 14-18 / Nov22-Mar23 from $1450 to $1500 +$50
other months going up between $0 and $75