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Do you trade reversion to mean (rtm) with pairs, or is it a continuing trend. I've observed two schools of thought: (1) RTM on cointegrated stocks (2) Anticipate that the divergence or convergence will continue with the given pair. Fundamentally, it's always better in the long run to go...

How much does it cost Bright or most Prop Firms to clear a transaction? For example, if Bright is charging .003 per share ($3 per thousand), is it costing Bright about .0003 per share ($0.3 per thousand) to clear the trade? thanks, Walt

Hi Lescor, What percentage of your trades are dedicated to Pairs Trading? thanks, Walt

This would imply that you're primarily a Pairs Trader... I guess that you also do a fair amount of openinng orders...

I'm sorry, but it's crazy to risk 50 ticks to make 1 tick, especially with rtm type strategy (unless I misunderstood your point)... this is a certain path to financial ruin...

Hi Lescor, I'm cannot grasp the logic of not knowing or calculating your r:r on your trades. At the very least, money management dictates that a conservative person "grinding it out, day after day" would not risk more than 2% of their trading capital on any one trade. I know that Acrary...

Do you typically try to have a favorable risk:reward ratio on your trades? For example, risk 0.20 cents to make 0.60 cents. A major challenge that I'm facing is the fact that a favorable risk:reward often reduces the probably of a successful trade. Averaging down (scaling-in) usually improves...

I've been contemplating the effect of parrondo's paradox on using a breakout strategy simultaneously with a fade/contraian range strategy. I would apply the Kelly criterion to optimize the parrondo's paradox. The idea to is potentially make and lose money in both markets; however, the Kelly...

It appears that Okumus, referenced in Jack Schwager's book on Stock Market Wizards, became wealthy from trading options, as shorting options was one of his strategies.

That's it; however, most prop intraday traders would typically seek to enter and exit all trades during the same day. Your example seems to fit a swing trade type strategy. A intraday rtm would try to fade the anticipated hi's or low's for the day, averaging down a couple of times because it's...

shorting to cover the long is effectively equivalent to closing the position. However, hedging is still a good suggestion you made. I would only recommend that the hedge is done with shorting options ATM or a split strike risk reversal OTM. Walt

scale-in (average down), but no more than 2 or 3 times, giving yourself cushion... of course, if you can perform hfts on par with GS, then that's your ticket...

I don't know what you mean by "exposing divergences and spikes"; however, reversion to mean is a contrarian or fade type strategy... What do you mean by "exposing divergences and spikes"?

I'm completely befuddled... How can intraday reversion to mean work in this current market environment? It seems that a trend style strategy would work best for intraday with this current market... Another counter intuitive issue... Lescor stated that he does not day trade the index futures...

Hi _mother, Would you care to elaborate? Fading in a trending market is very perilous (i.e. "catching a falling knife"). Furthermore, many fade strategies depend on scaling-in 2 or 3 times because it's very difficult to time the moment of the reversal. Consequently, scaling in (avg. dwn)...

Does anyone have solid experience with such a strategy? I've recently began analyzing and testing this strategy. It seems promising... My biggest concerns are: (1) keeping the short legs from being exercised before expiration. (2) adjusting the position once it goes beyond the b/e upper...

Hi Lescor, Would you mind listing the stocks traded, with the respective time frames for the entries and exits, or some variation of this (similar to the way Neke lists his trades)...? thanks, Walt

I'm convinced that unless you have the trading skills of Steve Cohen or some other "market wizard", consistently timing the market is an overwhelming task. I'm not advocating the "buy & hold" perspective of Warren Buffet, although the "value investing" methodology has its place. In essence...

Unless I'm missing something, how can you possibly afford to trade full-time if you're earning only $40k and $16k in 2008 & 2009, respectively???

Hi Barth, How were the probability stats derived? Are you saying this is across all markets? thanks, Walt