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I love threads like this. It's like a window into the minds of the uninformed. .. ES is a futures contract, settling to the cash value of the stock basket at expiry. Its fair value at any point in time reflects the carry of the basket to expiry, being, the value of the basket, minus...

:D :D :D I've found that research at home can work out. But the actual trading bit is more effectively done somewhere else. (Guy who likes to tinker late at night)

All I see is a different arrangement of spread & comms. Otherwise, whatever +/-.

you have got to be kidding! I wouldn't even call that a study. More like reassuring delusional BS. If you've ever done your own back testing, then you'll quickly recognize that the charts presented are cherry-picked. Stops helping? RSI working? Laughable.

Nominated for quote of the year. :D :D :D In so many ways, this summarizes the vast majority of algo trading, at all frequencies, imho.

lol. Anyone contending that this has a PnL impact?

But the top of the page says Rocko is a "quantitative visionary". Like, in the letterhead and all, so it must be true. :confused: ... How about applying a good old Kalman filter instead? These things have gotten me rather aroused lately.

I think you've answered your own question, but maybe backtest it.

probably not seeing the whole market.

yes. complements long gamma, if you think about it. M/R = mean reversion

What is volume in forex trading?

(e) Can you capture the cash spread when you're hedging long gamma? (f) Is the width of that spread priced into the the vol? (g) Have you been distracted by the volatility porn aesthetics (again)?

Bring on the volatility porn :D

Last trade for information. Bid/ask for pricing. +/-.

Yeah, agreed. Easier to build a new model against the dataset, then implement the "good bits" in the realtime code later.

But you can always point your realtime code at a stream of static. I test a lot that way, anyhow.

No MAs at all really. Occasionally a vwap over the day, but nothing where each trade is assigned the same weight. Scoring all trades with the same weight would imply that everyone knows what they are doing & all trades are equally informed. This is, in my view, ridiculously fanciful.

As above, use a List or similar. Put the ticks into the list over the 10 mins, then when the first 10 mins expires, calc the average. From there on, re-calc the average every second or whatever, while the list is still being populated with new ticks, and, discard the ticks that are now older...

mmm .. bars as opposed to ticks? If you need a high/low or vol range, why not just calc it off a tick window.

Real-time. Line them up in order, using the last quote on other legs as a reference in between new ticks.