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Most P&L losses come from being on the wrong side of a reversal. Our new Market Pressure Index in our Commitment of Traders dashboard gives early indications of xxx.
Whitepaper abstract
Flux Insights presents V1 of the Market Pressure Index (MPI), a contrarian indicator backed by Onyx’s market leading proprietary positioning and flow dataset, to predict price reversals in oil swap markets. We first discuss the approach implemented in constructing the index, present case studies on utilising the MPI as a discretionary trading tool, and finally develop a systematic MPI based contrarian strategy across a basket of products, enhanced by technical indicators, showcasing 1.6 Sharpe in our training/validation set and 1.2 Sharpe out-of sample.