Scenario risk analysis · TradersWeek

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Output: Research filter
Input: Account equity, volatility, stop distance and exposure
Horizon: Before entry and throughout the position
Best use: Keep a loss or exposure decision bounded before a trade is placed.

Input: Account equity, volatility, stop distance and exposure.
Output: filter.
Use boundary: Keep a loss or exposure decision bounded before a trade is placed.

The graph1

How the method is built, and where it has been read

Depends on

Often reviewed together

Market regime classification4 readings

Read in the archive24 of 28 readings

1985Event-class hazards and pre-trade survival checksDrawdown and survival 1985Exchange controls that close the trading-windowAuction and volume 1989Scenario-checked short-call income versus directional premiumOptions and volatility 1990Evaluating safety labels in a crash windowPortfolio construction 2001Evaluate portfolio survival with value-at-risk, budgets, and scenariosDrawdown and survival 2003American cash-settled debit spreads run on two clocksOptions and volatility 2003A three-path tape for recovery, inflation, or deflationSeasonality and regimes 2003Regime context for debt-era bear ralliesSeasonality and regimes 2006Disaster shocks, energy bottlenecks, and intermarket spilloverIntermarket and spreads 2006Trading survival as a precommitted decision processDecision process 2006Storm season, futures weather regimes, and contract sizeSeasonality and regimes 2007Country and sector sleeves as a construction choicePortfolio construction 2008Weather regimes and agricultural markets: a 2007-2008 case studySeasonality and regimes 2009Check the regime before you hunt a setupSeasonality and regimes 2010Grain price regimes start with the crop cycle, the dollar, and leftover inventoriesSeasonality and regimes 2010Energy futures, the dollar, inventory, and scenario riskIntermarket and spreads 2011Event shocks, size caps, and second-order reweightsPortfolio construction 2011Official floors, sidelines, and scale-in after a telegraphed FX interventionIntermarket and spreads 2015Auditing buy-write recovery overlays against pricing and scenario breaksOptions and volatility 2015Convert year-ahead forecasts into if-then checklistsDecision process 2016The commodity hold-forever thesis fails drawdown and ruin screensDrawdown and survival 2016A forecast is a hypothesis, not a sizing licenseDrawdown and survival 2016Place a yuan devaluation inside peg, contract, and funding contextIntermarket and spreads 2018Bound headline trades with if-then pathsDecision process

This registry entry describes a research method. It is not investment advice and does not make a performance claim.