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Good point. There is more than one way to skin a cat. Caveat: I think you're spreading and not necessary stats arb ... technical definition.

I really dont understand the specifics of what you're saying. But I think Multiple Bollinger band or Fibonancial would do. With regard to optimization... why would you go that route. Goodluck Fish

There's a new theory about where random walk can EXPLAIN technical analysis profitability. www.wilmott.com general discussion http://satyrican.tripod.com .... under the archive section, I think it's a pdf Mindboggling to say the least

Perhaps the word "cause and effect" might be a bad usage of words. I think "underlying assumption" might be apropos. Everything we act on must have some LOGICAL assumption guiding it. Going back to my original question, if you use TA, how do you know if the method is valid? What...

I think you have it all wrong. Cause (company performance,etc) -> Effet (upcoming price) = Money Managers (Fundamental analysis) Cause (Autocorellation, Theta, Volatility, ARIMA) -> Effect (price) = Quant Autcorealltion, Theta, vol, Arima = advanced technical analysis term Thus...

I couldnt have agree more on the Entry argument.

But how do you know if its due to CHANCE or not. What are you underlying assumptions? There are plethora of traders who hit it big for a year, five year, ten year, etc and then go broke.....

I am here in my new workplace as our team is unleashing the final version of a time series analysis software for interest rate derivatives hedging and MBS arbitrage. But I want to relay what happened on Tuesday..... A particular incidence. I was trading the YM (secretly of course) last...

Fed Chairman

Why not use Quicken or Money?

Cohen averaged 40%+ in previous year with roughly the same nominal principal. According to the article, he's "disappointed." I would too! (with that kind of information). There are tons and tons of upgrades/downgrade/recommendations. $4 billion is pocket change in this market .. relatively...

I was just posting the strategy out of fun. I think anyone with a brain would see that hte drawback to such an approach is the volatility, i.e. you would have period of serious, SERIOUS drawdown. For those technically incline, the autocorrelation of return would be positive.

Oops ... didnt proof read. Indices (DJ Titans) and futures (ES). I know quite a number of intraday pair trading setup. Using autocorrelation, cointegration, CAR, and NONE has outperform a simple sector laggard/leading combo. If you run the cointegration of a pair based on correlation...

Intraday statistical arbitrage aka pair trading..Not hard. Its done all the time. You dont need sophisticated model ... All you need is a sector leading and sector laggard. Pull up the futures (ex. BTK,ES) and trade. That's it. KISS It aint brain surgery. :)

Secret elitist traders (note: NOT elite, but elitIST) j/k pretty much of people i know who call themselves by that term.

How the hell do you earn JUST 13% when you have information before people do? Correct me if I am wrong, but how hard is it to buy/short sector's leading and laggard stocks BEFORE analysts' upgrade/downgrade? Sounds like cheap easy money to me. 13%...that's just pathetic. Give me the...

mean reversion folks

Okay ... <--- rolling my eyes

Has anyone tried this strategy? A stock declines by 5% or more ... MOC buy, sell next day close (MOC). From what I heard this is easy money.

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