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There's no need to hedge, the stocks drops by the same amount as the dividend, so you don't lose any money. Example: You buy stock XYZ for $20. It declares a $1 dividend. The stock opens the next day at $19, but you get $1 deposited into your account.

The "hedge" is the $1.00 dividend. You get that money directly.

Take your black box to an equity prop shop, like Bright or Echo. You can get all the leverage you can handle, and they have people who can help integrate it into their execution platforms.

There are two commercial GP engines out there that I have found: Trading System Lab (TSL), which costs $60,000, and Adaptrade, which costs about $1,200. I have no idea if either one "works." There is extensive discussion out there on NuclearPhynance, Wilmott, etc., regarding TSL...

I think SierraChart can chart spreads as well.

NoDoji - Blue Ribbon 1st Place, despite the haters Maverick74 sle martinghoul metal (oldie but goodie) lescor

Here's a guess - and it's just a guess: Index funds have a lot of different stratgies to minimize transacation/roll costs, and I believe that one strategy is to just buy the December contract and roll to the next December contract. December seems to have the most liquidity of all the months. So...

Go back a few (or more) years and you could do a find/replace on that article - find "HFT" and replace with "NYMEX local" - and the conclusions would stay the same. Should we go back to the "good old days" when locals would ignore an order if it didn't ring the cash register for them?

This may be putting the cart before the horse, but I had questions about commissions and platform fees for the funded trader. The info on the website wasn't clear: 1. I assume that you can't get member rates and have to pay the $1.25 per side (plus fees), with no volume discounts. (EDIT: I...

finviz.com for stocks - daily bars only on the free version.

My memory is hazy, but I believe that he says to treat them as three different systems, and test them that way. That way you don't muddy the waters, and are very clear where your profits and losses come from.

You won't find a file there, but the "Chart School" section at stockcharts.com shows you how to program an excel spreadsheet for each indicator.

Option IV does not decline to zero - it converges with realized volatility. There are many option traders who trade this relationship, but it has risks like any other trading method.

Earnings are "levered" when they are a component of Return on Equity. ROE is not capital structure neutral. Also, I prefer EV/EBIT or EV/NOPAT (EV/(EBIT*(1-tax rate)). Depreciation is a real cost. Both of these alternatives to EV/EBITDA are also capital structure neutral.

There's a paper out there (I'll see if I can find it somewhere) that evaluates a VIX futures roll-down strategy by shorting the VIX futures AND ALSO shorting an E-Mini S&P contact (ES). Since Vix generally spikes when ES drops, you get a dirty hedge.

I've heard good things about CTS T4. You can get it from most brokers. I believe you'll be able to trade just about anything with it, and the charting is very good.

Two PhD's took a look at your question with regard to S&P index options and wrote a paper about it, complete with a specific trading strategy. I wouldn't trade the more highly leveraged versions, but the concept is interesting.

Mav, do you use the intraday form of ACD to daytrade, or do you just use ACD on the larger timeframes to set up your day trades? (Or neither, or both?)

Why not scrape together $10,000 and trade one lot of ES using your strategy? That way, you can a) earn some income to supplement your day job; and b) build up a track record to show trading firms. Anyone can make backtests or "hypothetical" situations look good. Verified actual real-money...

The charted differential is not a tradeable price, because it only reflects the "last" trade from each contract - CLX2 could have traded at 95.05 at 11:01am, while CLG3 didn't trade until 11:05am at 96.05. What you didn't see was the fact that the CLG3 bid was at 96.00 at 11:01am and the CLX2...