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C @ 1045 -0.75pt S @ 1045

L @ 1045.75

observation 1444 high vol puke - wait 2-4 min for improved entry on rebound. Good sign if another big vol bar shows up

Hi, I read somewhere on ET that you should try to make 100pt on 1 ES contract to come of age as a trader. I'm going to aim for 50 by 3 months. Commissions are 0.12pt/rt Just doing this to keep me honest. S @ 1047.75 C @ 1045.75 +2 pt (exit on 6000 vol) 48 to go

I mentioned that 2-4pts is a decent day ... but there are plenty of indecent days when all I do is enrich my broker :) Avg 2 pts a day net = approx 500pts per annum = approx 50% unlevered ROIC based on S&P 1000 That's probably not realistic for mere mortals.

Hi, Just a poll here. For those of you who trade in and out of the ES and YMs intra day, how many points do you typically realize per contract? Also, from your experience, have you found your risk profile to be like short vol (ie steady stream of points on most days, big blow out on a...

I don't know if you would count risk arbitrage as a system, but there is a paper which shows the returns of merger arb funds over time. In the early time period, merger returns were often significantly above market with a few outliers that had tremendous returns. In the later time period...

OK - its a momentum strategy. Is this a system? Or is this discretionary? Are you only relying on the price of the underlying? Or will there be a concert of indicators? (eg volume, price of oil, number of dead birds in Central Park)

It does apply the principles of trading breakouts where they work best : smooth trending markets. I wonder if you should size your entry points based on the range of previous after market moves. That way your system can keep pace when there is a regime change in mkt range. Be interesting...

Sioux and Joe Trader - thanks for your pointers. I personally think there is a way to rethink the merger arb game - hence the interest in obtaining data. I'm yanking it out from a Bloomie one deal at a time, so not very efficient at all. btw, just to give back - everyone interested in...

Don't suppose anyone knows of equity price databases that include delisted companies do they?

... where to get a database of prices including delisted companies.

BlueHorseShoe To clarify : 40% correlation between close to close performance of SPX vs close to open performance of Asian index. The -1% correlation I refer to is close to close performance of the SPX vs close to close performance of the Asian index. So - you can't take an up day in...

I don't know if intermarket linkages are caused by global capital flows as much as psychology flows. I don't know how much international "hot" money there is sloshing around. I would expect that if it is significant, it's probably more likely to impact thin foreign markets (ie US money...

I am interested in studying how merger spreads have behaved in deals past - both successful and failed. It doesn't seem to be easy to get data though - as a result of delisting of acquirees. Does anyone know of a source? PS : I am NOT interested in traditional merger arb.

Most Asian and South American economies have the US as their largest trading partner. Most European economies seem to do most of their trade with other European economies. So I assume that looking at relationships between South American or Asian markets and the US should be a good starting...

In this day and age of electronic data and streaming information, I wonder if anyone still pours over physical chart books to hone their craft of tape reading. I've found it instructive to go over a daily chart of the ES to try and figure out what was going on between the major players. Seems...