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well, the title is self speaking i guess. we intend to trade long and short with pretty high turnover. pure quant stuff. thanks for the help

i want to create a list of quantitative trading ctas and hedge funds. i am pretty aware that there are many more than you find in any databases. i would like people to contribute to that list. it has been a while since i was on tour and visting people, so my list is definitely outdated...

would be my first try as well. funny, i saw a presentation where a trader concluded the exact opposite out of the same figure. this is what i mean by saying that the stat per se does not tell anything.

fine for me. reminds of aspects you mentioned in another thread.

i don't do anything in TS, so i skipped the code. i think i already see the point that 11:30-90% was just the starting point for further thinking/testing. thanks for your kind offer.

you are right, i still do not get that. from my understanding fading the 11:30 value if it is the high or the low assumes that there is additional information than the mere 11:30 - 90% stat. my point is that on 11:30 even if i am at the high it could still be the low of the day that holds...

abogdan btw do you keep the book market neutral by trading a future against?

i do not get that. i cannot believe that your result really corresponds to the 2 hours 90% analysis. at 11:30 you still do not know which one you've seen, the high or the low. the statistic does not at all contain that information. if your strategy works there must be a different effect like...

btw i think acrary is the only person who can create lasting threads without really participtating ...

this is what i meant by saying earlier that each change in position can only be a reflection of changes in the market and not just a function of my pnl. the account might serve as an indicator for what happened in the market place. but it cannot have any value by itself.

ic. i prefer longs on downgaps as well. from other posts i just had the feeling that you are part of the systematic community here.

you found that structure reliable? did you test it back? we did some research here but found other structures more reliable than shorting a down gap.

we had build a pattern recongition strategy on sp futures tested over ten years, started in november and it tried to short this run at about 1030. had to turn it off after consecutive losses. quite frustrating experience. did not cost too much in percentageterms but a lot in terms of psychology...

first i wanted to write a critical post on this probability, because i thought it is misguiding. but i did a small monte carlo first and came to the result that it is a very significant fact that is very different from random. strange.

IMHO opinion every investment which does not provide risk free rate of return will go bust in the end. no matter how unlikely a streak of losses will be, once it will occur, it is just a question of time until such a streak rbings the account below the fixed cost for one contract and thus whipe...

honestly speaking i never tried strategies of the mentioned. having said that i am eager to learn more on money management. thus i am interested in this discussion. my principle reluctance on the subject is based on the thinking that the market will not behave differently just because my pnl...

spieler as far as i know the high of the VIX since mid nineties is slightly above 45. ->?

lw27 sorry for this nonproductive talking - temptation was too big. i would not apply traditional TA thinking for such a stock. most likely other conditions will be more dominant than trend lines. maybe pivot points and other support/ resistance stuff, but all indicators will tell...

i would never use a trendline with less than three points!

maybe a short indicator. maybe.