James Sogi

Here is another quirk with the T-stat: a large gain like April 9, 2025 9% can lower the T-stat due to increasing the variance despite increasing average gain.

Chaos is modeled by deterministic nonlinear differential equations like the Lorentz system and is predictable in its rules and initial conditions. Stochastic probability involves a lack of a fixed path where outcomes cannot be determined even with exact starting data.

Steven Strogatz defines chaos as aperiodic long-term behavior in a deterministic system that exhibits sensitive dependence on initial conditions. The breakthrough was finding organization and determinism in what looked like disorganized systems.

Wheat up >6% new highs with Diesel high, hot weather, Canada trouble. ES 9 days off ATH. Lots of gravitation at 7750 Sogi round.

In calculating the t-stat, consistency of losses matters most. Small  losses drive t stat up.  To grow terminal wealth absolute magnitude of losses matters most. Controlling drawdown depth prevents the geometric drag that destroys capital accumulation. Ralph Vince

Systems often tout their high win rate but more important  is that the system generates a strongly positive expected value because the Win/Loss Payoff Ratio easily overcomes the win rate. Look for a distribution with big wins, small losses.

Federal Reserve Bank of New York: "The Disappearing Overnight Drift"  Overnight returns used to be quite regular the last 10 years but the edge has faded. Used to be .02% mean, but this year .003% Nasdaq night session should be interesting starting soon.

Recent yen intervention move 164-157 was a 6 sigma tail event. Lots of crazy stuff going on. Lots of fat tail events happening. -35% Hynix Metals 3 sigma Oil Rates historic highs Microsoft/Meta -25%

Open Interest in CBOE SPX option is 25.2M at the 97th percentile over the last year.

In Education of A Speculator, Vic Niederhoffer asks Bookie, "What's the secret of winning consistently without risk?" Bookie says," Live a good, balanced life." Good advice.

OPEX Friday with some hedges expiring. More vol likely next week.

15% of the population are projected to be on GLP-1 weight loss drugs by 2035. What effect on foods, restaurants, candy, alcohol, service? Any?

Daily correlation long bond to SPX: 1-Year Rolling Correlation: +0.28  • 3-Year Rolling Correlation: +0.19  • 5-Year Rolling Correlation: +0.10  • 10-Year Rolling Correlation: -0.07  • All-Time Historical Baseline: -0.24  Ever changing cycles. What does it signify?

Nuclear War by Annie Jacobsen is a horrifying scenario made worse by the likelihood of its occurrence due to current policy, strategies and bombs, missiles and subs still in place which will lead to 70% mass extinction of all life  after suffering. Must read for all.

Nasdaq 23 hour trading starting December 3, 2026. Changing cycles.

In old England if you could get 12 of your friends and neighbors to vouch for you, you could be exonerated of malfeasance. The idea of a jury came from this. Could you gather a dozen people to vouch for you today?

Musashi Miyamoto in Book of Five Rings said it is bad to repeat the same thing several times when fighting the enemy. There may be no help but to do something twice, but do not try it a third time." Vic Niederhoffer said never try to make money the same way more than twice.

After a new all time high the first pullback is bullish.

September is the worst month for the SP500 since 1928 and the last 20 years with an average return of approximately -0.6% to -0.8%, the lowest-ranked month return. Its down 55% of the time, including 2020 (-3.9%), 2021 (-4.8%), 2022 (-9.3%), and 2023 (-4.9%).