Product Update – Trade Rank

Good Afternoon,

Ansergy has released a new version of its TradeRankTM product. The model was one of the older ones and was long overdue for a re-tooling. Our new version includes several enhancements:

More Charts

  • More Periods
    • Rolling four historical + twelve forward
    • Eight full quarters
    • Calendar Years
  • New Rolls
    • Roll any outright
    • Added Year on year quarter rolls
      • Q2 2018 to Q2 2017;
      • Q1 2019 to Q1 2018, etc
  • Spark Spreads
    • In addition to plotting heat rates and power prices, we also publish a 7K Spark for all derivatives
  • New Spread
    • Palo-MidC for all periods; on and off

Faster & More Stable Interfaces

We have also split our source tables into the four derivative groups:

  • Outrights
  • Rolls
  • Spreads
  • On/Off

Splitting each into its own table will reduce the number of times you are interrupted during data updates.

New Trade Ranking Algorithm

TradeRankTM  uses a heatrate-based ranking. Ranks are relative to today’s price versus the last 120 days. If a product is trading at its 120 day high its rank is 1.00. Ranks are computed for both Market and Forecast then both ranks are compared to each other.

A buy “bias” occurs when the Forecast approaches a high while the market approaches a low. The strongest Buy bias occurs if the Forecast is at an all-time high and the Market is at an all-time low; in that case the Trade Rank Index (TRI) = 100; just the opposite, a TRI=-100 occurs when the Forecast is at an all-time low and the market is at an all-time high.  In other words, the ranking is a function of both market and forecast, both of which are functions of their respective historical trading ranges. Not perfect, but gives a means of comparing products against each other.

000-new-tr-000

We also include the historical ranges for both forecast and the market for all TradeRankTM products.

The following summarizes the fields in the Summary Table (click the second “+” beneath the report name to expand.

  • Agg – Aggregation (M=Month, Q = Quarter)
  • Forecast – Most recent Ansergy forecast
  • Market – Most recent market prices
  • TRI – Trade Rank Index; TRI = Market %rank – Forecast %rank; where rank is where the most recent period’s heat rate is relative to the historical Trade Rank Period. For example, if today settled at the period high (100 day) it’s Market Rank = 1.0% (1/90); if the forecast settled at say 50th it’s Forecast Rank would be 50/100, or about 50%. 1%-50% = -49% * 100 = -49; TRI = -49. A negative value suggests a short and a positive a buy; the bigger the absolute value the more compelling the long/short is.
  • Frank – Forecast Rank; 1 being the highest heat rate settle;
  • Mrank – Market Rank
  • Mx,Fx  – max value for market or forecast during Trade Rank Period
  • Mn,Fn – min value
  • Ma, Fa – average

We will be swapping out our Bookmarks and Dashboards over the next couple of days.

Team Ansergy