Search results

Yesterday I ended the day with a large long position in ES. After a nice up move like we had I like to hold overnite to see if it's likely to keep going in the same direction. My models indicated today wasn't likely to have a large range or continue in yesterday's direction. They basically...

I define a trend day as a day where the open is within 10% of the low/high and the close is within 20% of the high/low. The % is based on the range of the day. Ex. In a day with a 20 pt range, the open must be within 2 pts of the low/high and the close must be within 4 pts of the high/low. In...

I wrote the programs myself. The idea for trendiness came from a article in TASC. Here's the link http://store.traders.com/-v10-c01-futures-pdf.html The volatility idea came from measuring a rolling mean and standard deviation. I'd have to go through an old notebook to find out the...

Bear uses predict and professional II + for in house development. http://www.neuralware.com/products_pro2.jsp

It's not really a rollover. That happens next week. The SP pit changes it's front month on the second Thursday of the expiration month for the main pit. This is called pit rotation. When this happens the liquidity in the current contract starts dropping. Most emini vendors won't allow you to...

There's been a dropoff in both trendiness and volatility this year. That's usually bad news for profits. Here's something that shows the trendiness and volatility for the past 5 years, last year, and this year. It can be used for comparing one period against another but not for saying things...

That's all these models are run on. I have another system setup with a diversified commodities portfolio and separate models. I haven't seen much interest in talking about physicals on this board so I don't post anything about them.

My production models are in two broad categories: money flow and breakouts. The money flow is one model based on inflows/outflows to mutual funds with a 1 week hold timeframe. The breakouts are split into many sub-categories like (volatilty breakouts, opening range breakouts, trend...

And here's the TS code if anyone wants to play with it.

Here's the year by year results.

Yeah, there's edges available in divergence trading. Only thing I hate about divergences is you're trading against the outlier trend trades. If you don't have really good defense you can lose your shirt. Upside is also limited. Here's the results of a simple system using CCI and price...

I don't know about Esignal, but the daily volume from the CME goes through 3 steps. 1). End of day volume on day of trading is the estimated volume. 2). Mid morning of next day is the final volume for yesterday. 3). Next day morning is the final adjusted volume for two days ago. If you...

Good systems: - are easy to trade. They don't have rules like buy on open of next bar using 1 min. data. They give you enough time to actually get fills similar to the tested results. - don't try to capture profits in all market conditions. Every system I have is targeted to a specific...

Since I'm a trader by profession all my investments are managed by me. I invest idle cash not needed for maintenance margins in Tbills. Other than that, if I'm looking to invest money I just transfer it to my trading account. I own no stock, bonds, mutual funds, or rental property. If I reach a...

I think he was just thinking of contract volume. In terms of dollar volume the pit is about 75% of the Emini. In terms of open interest, the SP has about 6X as much dollar value than the Emini. This reinforces the idea that the Emini is about short term speculation and the SP is about longer...

(Talent * Attitude * Persistence)^Time = Results Zero out talent, attitude, or persistence and you get 0 results Without time your results will be minimal. Gordon, I know you have talent, a great attitude, and you've demonstrated persistence. Give yourself some time and you'll achieve...

I use continuous contracts. They're backadjusted so that the front month always has the correct price. My systems aren't price level sensitive so I don't have any problems with the adjustment.

Besides the money..... I love the competition.

No, I'm trading ESU3. I'm excited to be back after more than a month off. I'm probably just hyper. The queues look more balanced now.

It looks to me like the Emini bid/ask queue is a mirage. I can see it and I can't get it. My quotes and realtime quote from the broker entry page have the same prices so I don't see any delays. I did increase my size since July. I at least expected a split fill with part of the current bid/ask...