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I have a couple trading assistants / junior traders who are somewhere on the learning curve between slime mold and full time traders. (And yes they do read these posts. They need to be reminded of humility and the dangers of hubris after particulary good trading runs lol.) To me it's very...

1. You should be fine with MOC orders, but make sure they are NYSE MOC so you get settlement. I dont have numbers here in front of me at home but that PCLN price at least looks wrong. You want to be able to route your MOC to the Specialist. 2. Did you test this first? I would never trade...

I was using robust in a casual sense, meaning that the tendencies we find, and the models and systems created from those tendencies tend to work year after year without too much adjustment. Most quant models are not robust in that sense... they work for months or years and never work as well in...

Background info on earnings in general. This will be review for most readers: There are at least 4 important parts to monitor with an earnings announcement: -The revenue number (the "top line") -The EPS number ("bottom line") -Guidance -Company comments in conference call (may not be...

there's no offsetting long to this trade because the drop was due to an acquisition... so it's paired with SPY, which is the long. that's an important part of the the system rules.

How cute bwolinsky. I'm thinking you're kind of an idiot though. First of all, you must get your prices from some free source because PCLN is not currently at 173. I wish lol. Stocks trade after hours... you can find information on that on investopedia.com if you're confused. PCLN is more...

this is interesting and something we have looked at too. my sense is that 3% probably isn't nearly big enough. Also, some stocks move 3% every day and some move .5% on average. A simple % change measure misses that so we use a standard deviation move in these cases. Even though market data...

I think we have a philosophical divide here. We do everything possible to avoid data mining in any form whatsoever and would NEVER do a test like you're suggesting. In fact, we try to avoid multiple "cuts" through the data as much as possible, even if it's something like should we use 5% or...

Trying to spark a little discussion here on this. My idea of starting this thread was to maybe guide and push the discussion in certain directions (and, who knows, maybe I'll screw up and it won't always be the best direction)... I didn't start it so that I could be the Ultimate Dispenser of...

You're a strange little person... I thought your CFA question as humorous so where did the attack come from? What are you compensating for? I have a guess... At least you provide comic relief I suppose.

yeah i can guess. lol. that's priceless!

Thanks for your insights and contributions here. We trade a lot of options, but mostly simple volatility spreads... so we hadn't looked at the correlation shift with the stocks vs index. a lot of options traders trade those kinds of strategy but so far that isn't in our setup list. maybe it...

You're still ignoring the huge behavioral / psychological component. I really think you absolutely must have 3 things to trade. 1. a real edge in the market 2. the right psychological makeup and learned behaviors to allow yourself to benefit from that edge and 3. a big enough bankroll...

You could set this up either way, but I would not be too concerned about being long/short. Rather, look at this as a system that gives a directional bias for individual stocks. I'm not too excited about relative returns. I think it's one of the great scams of the industry. "Well the bad...

I understand what you really want... which is proof that something elusive (to you so far) actually exists. You're saying the same thing as "show me a bigfoot skeleton" in your mind. I don't see why I am obligated to offer proof. My trading pays a shitload of bills, datafeeds, Bloomberg and...

Is that professor Singal's book? I read an advance copy of that a few years back and remember it being a good collection... in fact I probably still have it around somewhere. There are only so many easily tradable inefficiencies and his book, if I remember correctly, summarizes the important...

Ok I think we've more or less exhausted that little index add/drop system. We haven't seen a complete backtest and you certainly should do you due diligence before trading anything, but I think all the information is there if someone wants to trade it. Let's talk a minute or two about the...

Well, you've proven yourself to be clueless. Those leveraged ETFs have no place in a long term portfolio. Do the math... I thought everyone in the world already knew this. Done with this thread... I'm sorry to see you have closed yourself off and decided to not learn. I suspect you had...

Piker, do you use products like SSO in your investing? How do you decide how much to allocate to SSO vs SPY? You still haven't shared any of your decision criteria actually.

it absolutely does... trading, done correctly, absolutely gives you better control over your risk. the size and consistency of my returns over many different market cycles verifies this and i'm not alone. just because you weren't able to figure it out doesnt mean trading is impossible. on...